AlphaGBM Volatility Smile
Prerequisites
- API Key: Set env
ALPHAGBM_API_KEY (format agbm_xxxx...).
- Base URL: Default
https://alphagbm.zeabur.app. Override with env ALPHAGBM_BASE_URL.
What This Skill Does
Analyzes the volatility smile (or skew) for a single expiration -- the curve of implied volatility plotted against strike prices. Reveals how the market prices tail risk, directional fear, and supply/demand imbalances across the options chain.
Key Outputs
| Output |
What It Shows |
| Smile Curve |
IV at each strike for the selected expiry -- the raw smile data |
| 25-Delta Skew |
IV(25d put) - IV(25d call) -- the standard measure of directional skew |
| Risk Reversal |
Price of 25d call minus 25d put -- a tradeable expression of skew |
| Smile Shape |
Classification: normal, flat, reverse, winged, or smirk |
| Skew Percentile |
Current skew vs. 252-day history -- is skew unusually steep or flat? |
What Smile Shape Means for Trading
| Shape |
Description |
Market Implication |
Trade Ideas |
| Normal |
OTM puts have higher IV than OTM calls |
Standard hedging demand -- puts are expensive |
Sell put spreads, buy call spreads |
| Flat |
IV roughly equal across strikes |
Low fear, balanced positioning |
Neutral strategies (iron condors) |
| Reverse |
OTM calls have higher IV than OTM puts |
Upside speculation or short squeeze risk |
Sell call spreads if overpriced |
| Winged |
Both OTM puts and calls elevated |
Expecting a large move, direction unknown |
Sell straddles/strangles if IV is high |
| Smirk |
Asymmetric -- one side significantly steeper |
Directional fear concentrated on one side |
Trade the steep side if skew is extreme |
API Endpoint
Volatility Smile
GET /api/options/tools/vol-smile/<SYMBOL>?expiry=2026-04-17
Query parameters:
- expiry (optional): Expiration date in
YYYY-MM-DD format. Defaults to nearest monthly expiry if omitted.
Returns the smile curve (strikes, IVs, deltas), skew metrics, shape classification, and skew percentile for the specified expiration.
How to Use
Input
- Required: Ticker symbol
- Optional: Expiration date (defaults to nearest monthly), moneyness range
Output Structure
{
"ticker": "AAPL",
"price": 218.45,
"expiry": "2026-04-18",
"dte": 20,
"smile": {
"strikes": [190, 195, 200, 205, 210, 215, 220, 225, 230, 235, 240],
"ivs": [42.1, 39.5, 36.8, 34.0, 31.5, 29.2, 27.5, 28.8, 30.5, 32.8, 35.2],
"deltas": [-0.10, -0.15, -0.22, -0.30, -0.40, -0.48, 0.52, 0.42, 0.32, 0.22, 0.14]
},
"skew_metrics": {
"skew_25d": -8.3,
"risk_reversal_25d": -2.45,
"skew_10d": -14.6,
"atm_iv": 28.3
},
"shape": "normal",
"skew_percentile": 72,
"interpretation": "Put skew is moderately steep (72nd percentile). OTM puts are pricing ~8 vol points above equidistant calls -- standard hedging demand with slight elevation."
}
Example Queries
| User Says |
What Happens |
| "Vol smile AAPL" |
Smile curve for nearest monthly expiry with skew metrics |
| "Skew analysis NVDA" |
Full smile + skew percentile vs. history |
| "Put skew for TSLA" |
Focuses on put-side IV, 25d skew, skew percentile |
| "Is the smile steep for SPY?" |
Compares current 25d skew to 252-day range |
| "Smile shape GOOGL April expiry" |
Shape classification for specified expiration |
Mock Data
Demo tickers available without API key: AAPL, NVDA, SPY, TSLA, META. Smile data uses realistic IV snapshots from mock-data/.
Related Skills
- alphagbm-vol-surface -- See the full 3D surface across all expirations
- alphagbm-iv-rank -- Is overall IV high or low vs. history?
- alphagbm-options-strategy -- Steep skew suggests certain spread strategies
- alphagbm-options-score -- Use skew insights to find better-scored contracts
Powered by AlphaGBM -- Real-data options & research intelligence for traders and AI agents. 10K+ users.
1---2name: alphagbm-vol-smile3description: 2D volatility smile and skew analysis for a single expiration date. Maps IV across strikes to reveal put skew, call skew, and smile shape. Returns smile curve data, skew metrics (25-delta skew, risk reversal), and shape classification. Use when: analyzing put/call skew, checking if puts are expensive, understanding directional fear in options pricing, finding skew trades. Triggers on: "vol smile AAPL", "skew analysis NVDA", "put skew for TSLA", "is the smile steep for SPY", "volatility skew META", "smile shape for GOOGL".4---56# AlphaGBM Volatility Smile78## Prerequisites910- **API Key**: Set env `ALPHAGBM_API_KEY` (format `agbm_xxxx...`).11- **Base URL**: Default `https://alphagbm.zeabur.app`. Override with env `ALPHAGBM_BASE_URL`.1213## What This Skill Does1415Analyzes the **volatility smile** (or skew) for a single expiration -- the curve of implied volatility plotted against strike prices. Reveals how the market prices tail risk, directional fear, and supply/demand imbalances across the options chain.1617### Key Outputs1819| Output | What It Shows |20|--------|--------------|21| **Smile Curve** | IV at each strike for the selected expiry -- the raw smile data |22| **25-Delta Skew** | IV(25d put) - IV(25d call) -- the standard measure of directional skew |23| **Risk Reversal** | Price of 25d call minus 25d put -- a tradeable expression of skew |24| **Smile Shape** | Classification: normal, flat, reverse, winged, or smirk |25| **Skew Percentile** | Current skew vs. 252-day history -- is skew unusually steep or flat? |2627### What Smile Shape Means for Trading2829| Shape | Description | Market Implication | Trade Ideas |30|-------|-------------|-------------------|-------------|31| **Normal** | OTM puts have higher IV than OTM calls | Standard hedging demand -- puts are expensive | Sell put spreads, buy call spreads |32| **Flat** | IV roughly equal across strikes | Low fear, balanced positioning | Neutral strategies (iron condors) |33| **Reverse** | OTM calls have higher IV than OTM puts | Upside speculation or short squeeze risk | Sell call spreads if overpriced |34| **Winged** | Both OTM puts and calls elevated | Expecting a large move, direction unknown | Sell straddles/strangles if IV is high |35| **Smirk** | Asymmetric -- one side significantly steeper | Directional fear concentrated on one side | Trade the steep side if skew is extreme |3637## API Endpoint3839### Volatility Smile4041```42GET /api/options/tools/vol-smile/<SYMBOL>?expiry=2026-04-1743```4445Query parameters:46- **expiry** (optional): Expiration date in `YYYY-MM-DD` format. Defaults to nearest monthly expiry if omitted.4748Returns the smile curve (strikes, IVs, deltas), skew metrics, shape classification, and skew percentile for the specified expiration.4950## How to Use5152### Input53- **Required**: Ticker symbol54- **Optional**: Expiration date (defaults to nearest monthly), moneyness range5556### Output Structure5758```json59{60 "ticker": "AAPL",61 "price": 218.45,62 "expiry": "2026-04-18",63 "dte": 20,64 "smile": {65 "strikes": [190, 195, 200, 205, 210, 215, 220, 225, 230, 235, 240],66 "ivs": [42.1, 39.5, 36.8, 34.0, 31.5, 29.2, 27.5, 28.8, 30.5, 32.8, 35.2],67 "deltas": [-0.10, -0.15, -0.22, -0.30, -0.40, -0.48, 0.52, 0.42, 0.32, 0.22, 0.14]68 },69 "skew_metrics": {70 "skew_25d": -8.3,71 "risk_reversal_25d": -2.45,72 "skew_10d": -14.6,73 "atm_iv": 28.374 },75 "shape": "normal",76 "skew_percentile": 72,77 "interpretation": "Put skew is moderately steep (72nd percentile). OTM puts are pricing ~8 vol points above equidistant calls -- standard hedging demand with slight elevation."78}79```8081### Example Queries8283| User Says | What Happens |84|-----------|-------------|85| "Vol smile AAPL" | Smile curve for nearest monthly expiry with skew metrics |86| "Skew analysis NVDA" | Full smile + skew percentile vs. history |87| "Put skew for TSLA" | Focuses on put-side IV, 25d skew, skew percentile |88| "Is the smile steep for SPY?" | Compares current 25d skew to 252-day range |89| "Smile shape GOOGL April expiry" | Shape classification for specified expiration |9091### Mock Data9293Demo tickers available without API key: AAPL, NVDA, SPY, TSLA, META. Smile data uses realistic IV snapshots from `mock-data/`.9495### Related Skills96- **alphagbm-vol-surface** -- See the full 3D surface across all expirations97- **alphagbm-iv-rank** -- Is overall IV high or low vs. history?98- **alphagbm-options-strategy** -- Steep skew suggests certain spread strategies99- **alphagbm-options-score** -- Use skew insights to find better-scored contracts100101---102103*Powered by [AlphaGBM](https://alphagbm.com) -- Real-data options & research intelligence for traders and AI agents. 10K+ users.*
gabrielmoreira