AlphaGBM Volatility Smile
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
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-DDformat. 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
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