AlphaGBM AlphaGBM Volatility Surface
Prerequisites
- API Key: Set env
ALPHAGBM_API_KEY(formatagbm_xxxx...). - Base URL: Default
https://alphagbm.zeabur.app. Override with envALPHAGBM_BASE_URL.
What This Skill Does
Builds a 3D volatility surface for any optionable ticker, mapping implied volatility across two dimensions -- strike price (moneyness) and time to expiration. Identifies where options are cheap, expensive, or anomalous relative to the surface.
Key Outputs
| Output | What It Shows |
|---|---|
| Surface Grid | IV at each (strike, expiry) coordinate -- the full 3D map |
| ATM Term Structure | How at-the-money IV changes across expirations (front-month vs. back-month) |
| Skew by Expiry | Put-call IV differential at each expiration -- measures fear/complacency |
| Surface Anomalies | Points where IV deviates significantly from the fitted surface -- potential mispricings |
| Surface Shape | Classification: contango, backwardation, flat, inverted, event-driven |
What the Surface Tells You
- Contango (front IV < back IV): Normal market, no near-term fear
- Backwardation (front IV > back IV): Near-term event expected (earnings, FDA, etc.)
- Steep skew: Market pricing tail risk in puts -- hedging demand is high
- Flat skew: Balanced sentiment -- no strong directional fear
- Anomaly detected: A specific contract is mispriced vs. neighbors -- potential opportunity
Volatility Risk Premium (VRP)
VRP = Implied Vol - Historical Vol
| VRP Level | Seller | Buyer |
|---|---|---|
| very_high (>=15%) | Very favorable | Unfavorable |
| high (5-15%) | Favorable | Slightly unfavorable |
| normal (+/-5%) | Neutral | Neutral |
| low (-15% to -5%) | Unfavorable | Favorable |
| very_low (<-15%) | Very unfavorable | Very favorable |
API Endpoints
Volatility Surface (3D)
GET /api/options/tools/vol-surface/<SYMBOL>
Returns the full 3D volatility surface with moneyness axis, expiry axis, and IV grid.
IV Snapshot (quick check, no quota cost)
For a fast ATM IV / IV Rank / HV / VRP check without pulling the full surface:
GET /api/options/snapshot/<SYMBOL>
Returns: ATM IV, IV Rank, HV 30d, VRP, VRP level.
How to Use
Input
- Required: Ticker symbol
- Optional: Moneyness range (e.g., 0.8-1.2), expiration range (e.g., 7-90 days)
Output Structure
{
"ticker": "AAPL",
"price": 218.45,
"surface": {
"moneyness_axis": [0.85, 0.90, 0.95, 1.00, 1.05, 1.10, 1.15],
"expiry_axis": ["2026-04-04", "2026-04-18", "2026-05-16", "2026-06-20"],
"iv_grid": [
[38.2, 34.5, 31.0, 28.5, 30.2, 33.1, 36.8],
[36.1, 33.0, 29.8, 27.2, 28.9, 31.5, 34.9],
[34.5, 31.8, 28.5, 26.0, 27.5, 30.0, 33.2],
[33.0, 30.5, 27.8, 25.5, 26.8, 29.0, 31.8]
]
},
"atm_term_structure": {
"2026-04-04": 28.5,
"2026-04-18": 27.2,
"2026-05-16": 26.0,
"2026-06-20": 25.5
},
"skew": {
"2026-04-18": {"25d_put_iv": 33.0, "25d_call_iv": 28.9, "skew": -4.1}
},
"shape": "contango",
"anomalies": [
{
"strike": 200,
"expiry": "2026-04-18",
"iv": 38.5,
"expected_iv": 34.2,
"deviation_sigma": 2.3,
"signal": "overpriced"
}
]
}
Example Queries
| User Says | What Happens |
|---|---|
| "Vol surface AAPL" | Full 3D surface with term structure, skew, anomalies |
| "Is NVDA IV expensive?" | Compares current surface to 30-day historical average |
| "Volatility term structure SPY" | ATM IV across all expirations with shape classification |
| "Surface analysis TSLA" | Full surface + anomaly detection for mispriced contracts |
| "Front-month vs back-month IV for META" | Term structure with contango/backwardation call |
Mock Data
Demo tickers available without API key: AAPL, NVDA, SPY, TSLA, META. Surface data uses realistic IV snapshots from mock-data/.
Related Skills
- alphagbm-vol-smile -- Zoom into a single expiration's smile/skew curve
- alphagbm-iv-rank -- Is IV high or low vs. its own history?
- alphagbm-options-score -- Use surface insights to find the best-scored contracts
- alphagbm-options-strategy -- High IV surface suggests selling premium; low IV suggests buying
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