@v587d/capital-generation 2.7.12 → 2.8.0

package/selected-skills/InvestSkill/plugins/us-stock-analysis/skills/options-analysis/references/11-implied-volatility-iv-analysis.md

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+# Analysis Framework(continued)
+
+Part 2 of 4 for `options-analysis` — Analysis Framework
+See `SKILL.md` for what to read and when; this part is procedure, not routing.
+
+### 3. Implied Volatility (IV) Analysis
+
+**IV vs. Historical Volatility (HV)**
+- **IV (Implied Volatility)**: Forward-looking volatility derived from current option prices — reflects market's expectation of future price swings
+- **HV (Historical Volatility)**: Realized past volatility measured over 20, 30, or 60 days
+- **IV > HV**: Options are expensive relative to recent realized movement — favor selling premium (credit strategies)
+- **IV < HV**: Options are cheap relative to recent realized movement — favor buying premium (debit strategies)
+- **IV/HV ratio**: >1.2 = meaningfully overpriced, <0.8 = meaningfully underpriced
+
+**IV Rank (IVR)**
+```
+Formula: IVR = (Current IV - 52-Week Low IV) / (52-Week High IV - 52-Week Low IV) × 100
+
+Example: Current IV 35%, 52-wk Low 20%, 52-wk High 60%
+IVR = (35 - 20) / (60 - 20) × 100 = 37.5%
+
+IVR Interpretation:
+>70%    Very High — IV near 52-week highs, strongly favor selling premium
+50-70%  High — elevated IV, lean toward selling premium
+30-50%  Moderate — mixed, direction-dependent strategies
+<30%    Low — IV near 52-week lows, favor buying premium or debit spreads
+<15%    Very Low — cheapest options of the year, consider long volatility
+```
+
+**IV Percentile (IVP)**
+- Definition: Percentage of trading days in the past 252 days where IV was lower than the current reading
+- IVP 80% = IV is higher today than on 80% of trading days in the past year
+- More statistically robust than IVR because IVR can be skewed by a single outlier high or low
+- IVP > 50%: favor selling premium | IVP < 30%: favor buying premium
+
+**IV Term Structure**
+- **Contango (normal)**: Near-term IV < far-term IV — calm near-term environment, uncertainty longer-dated
+- **Backwardation (inverted)**: Near-term IV > far-term IV — acute fear or event in immediate future
+- Steep backwardation: market pricing major near-term risk (earnings miss, regulatory event, macro shock)
+- Calendar spread opportunity: sell high near-term IV, buy lower far-term IV (take advantage of backwardation)
+
+**IV Skew Analysis**
+- **Put skew**: OTM put IV > OTM call IV — standard condition in equity markets (portfolio protection demand)
+- **Steep negative skew**: Market pricing significant downside protection — fear elevated, consider selling OTM puts
+- **Skew reversal (call skew)**: OTM call IV > OTM put IV — squeeze expectation, binary upside event anticipated
+- **Risk reversal metric**: 25-delta put IV minus 25-delta call IV. Higher value = steeper put skew.
+- Skew changes directionally: steepening skew = increasing fear, flattening skew = reducing downside concern
+
+**Volatility Crush (Post-Event IV Collapse)**
+- IV systematically rises into known binary events: earnings, FDA decisions, investor days, FOMC
+- IV collapses immediately after the event as uncertainty resolves — regardless of the price move direction
+- Average IV crush on earnings: 30-50% drop in IV on the day following announcement
+- Implication: long premium strategies must have a move that exceeds the expected move to profit; short premium strategies profit even if stock moves, as long as within expected range
+
+### 4. Strategy Selector
+
+Select the optimal strategy based on market outlook and IV environment:
+
+**Bullish Strategies**
+
+| Strategy | When to Use | IV Preference | Max Profit | Max Loss |
+|----------|------------|---------------|------------|----------|
+| Buy Call | Strongly bullish, conviction directional bet | Low IV (IVR <30%) | Unlimited | Premium paid |
+| Bull Call Spread | Moderately bullish, reduce cost, cap profit | Any IV | Strike spread minus debit | Debit paid |
+| Cash-Secured Put | Bullish/neutral, willing to own stock at lower price | High IV (IVR >50%) | Premium collected | Strike minus premium |
+| Covered Call | Bullish/neutral, income on existing position | High IV (IVR >50%) | Premium + upside to strike | Stock cost minus premium |
+
+**Bearish Strategies**
+
+| Strategy | When to Use | IV Preference | Max Profit | Max Loss |
+|----------|------------|---------------|------------|----------|
+| Buy Put | Strongly bearish, protection or directional bet | Low IV (IVR <30%) | Strike minus premium | Premium paid |
+| Bear Put Spread | Moderately bearish, reduce cost, define risk | Any IV | Strike spread minus debit | Debit paid |
+| Bear Call Spread | Bearish/neutral, sell premium with defined max loss | High IV (IVR >50%) | Credit received | Strike spread minus credit |
+
+**Neutral and Volatility Strategies**
+
+| Strategy | When to Use | IV Preference | Max Profit | Max Loss |
+|----------|------------|---------------|------------|----------|
+| Iron Condor | Neutral price, range-bound | High IV (IVR >50%) | Full credit | Wing spread minus credit |
+| Iron Butterfly | Neutral, max decay at single price point | High IV (IVR >50%) | Full credit | Wing spread minus credit |
+| Short Straddle | Neutral, sell both call and put ATM | Very High IV | Full credit | Unlimited (uncapped) |
+| Long Straddle | Expecting large move, unknown direction | Low IV (IVR <20%) | Unlimited | Both premiums paid |
+| Long Strangle | Large move expected, OTM for lower cost | Low IV (IVR <20%) | Unlimited | Both premiums paid |
+
+**Strategy Selection Matrix**
+
+```
+                        IV High (IVR >50%)       IV Low (IVR <20%)
+─────────────────────────────────────────────────────────────────────
+Strongly Bullish:       Bull Call Spread          Buy Call
+Mildly Bullish:         Cash-Secured Put          Bull Call Spread
+Neutral:                Iron Condor               Long Straddle / Strangle
+Mildly Bearish:         Bear Call Spread          Bear Put Spread
+Strongly Bearish:       Bear Put Spread           Buy Put
+High Volatility:        Short Straddle            Long Straddle
+Low Conviction:         Iron Condor               Calendar Spread
+─────────────────────────────────────────────────────────────────────
+```
+
+
+This section is not finished here: `Analysis Framework` continues in `references/12-earnings-play-analysis.md`.

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+# Analysis Framework(continued)
+
+Part 3 of 4 for `options-analysis` — Analysis Framework
+See `SKILL.md` for what to read and when; this part is procedure, not routing.
+
+### 5. Earnings Play Analysis
+
+**IV Crush Dynamics**
+- IV rises steadily in the 2-4 weeks before earnings as uncertainty increases
+- On the day after earnings announcement, IV collapses 30-50% (volatility crush)
+- This crush destroys long premium value even if the stock moves significantly
+- Short premium strategies capture this crush but face the binary event risk
+
+**Expected Move Calculation**
+```
+Expected Move (EM) = ATM Straddle Price / Stock Price × 100
+
+Example: Stock at $100, ATM straddle costs $7.00
+Expected Move = 7.0 / 100 × 100 = 7.0%
+Market implying 68% probability stock stays within +/-$7 of current price
+```
+
+**Historical Earnings Move Analysis**
+- Compare actual historical earnings moves vs. expected move at time of earnings
+- If stock regularly moves ≥ 1.5x the expected move: favor buying straddle/strangle (breakeven likely exceeded)
+- If stock regularly moves < 0.7x the expected move: favor selling premium (iron condor, short strangle)
+- Look at last 8 quarterly earnings reactions for statistically meaningful sample
+
+**Earnings Straddle Setup**
+- Buy ATM call + ATM put with same strike and expiration just before earnings
+- Profit if stock moves more than combined cost of both options (breakeven points = strike ± total premium)
+- Risk: theta decay into earnings + IV crush if move is below expected move
+- Optimal entry: 7-14 days before earnings (balances theta risk vs. IV run-up capture)
+
+**Defined Risk Earnings Structures**
+- **Long strangle**: OTM call + OTM put, cheaper than straddle, requires larger move to profit
+- **Broken wing butterfly**: Define maximum risk, profit if stock pins near current level, smaller debit
+- **Earnings iron condor**: Sell wings around expected move, profit if stock stays within range
+
+### 6. Risk Management
+
+**Maximum Loss Scenarios by Strategy**
+- Long call / Long put: Max loss = premium paid (100% of investment)
+- Bull/Bear spread: Max loss = net debit paid
+- Iron condor: Max loss = wing width minus total credit received
+- Short straddle / strangle: Max loss = theoretically unlimited (capped by stock going to zero for puts)
+- Covered call: Max loss = stock cost basis minus premium received (stock declining to zero)
+
+**Position Sizing**
+- Long options premium risk: limit to 2-5% of portfolio per trade (entire premium can be lost)
+- Short premium, **defined-risk** (credit spreads, iron condors, iron butterflies): max loss = spread width − credit; size so that max loss is 1-3% of portfolio
+- Short premium, **undefined-risk** (short straddles, short strangles, naked puts/calls): loss is not capped by a spread width — size on a stress loss instead: assume a 2-standard-deviation move (or the stock's worst historical earnings gap, whichever is larger) and keep that loss to 1-3% of portfolio; keep buying-power reduction under 20% of the account; and never carry an undefined-risk position through earnings without a pre-set exit level
+- Never let a single options position represent more than 10% of total portfolio market value
+- For speculative OTM long options: size even smaller (0.5-1%) given low probability of profit
+
+**Delta Hedging for Complex Positions**
+- Monitor portfolio delta daily for active options books
+- Adjust underlying stock position to maintain target delta exposure (delta-neutral if desired)
+- Frequency of hedging: daily for near-expiry positions, weekly for longer-dated positions
+- Hedging costs: transaction costs erode gamma scalping profits; only hedge on meaningful delta drift
+
+**Rolling Positions**
+- When to roll: option approaching expiration with significant unrealized gain or at risk of assignment
+- Rolling out: buy to close current expiration, sell to open further expiration (extends duration)
+- Rolling out and up/down: change both expiration and strike
+- Roll mechanics: attempt to collect additional credit (for short options) or minimal debit
+
+**Stop-Loss Guidelines**
+- Long options (debit): consider closing when position loses 50% of premium paid
+- Short options (credit): consider closing when position reaches 2x the credit received (200% of max profit in losses)
+- Hard rule: never let a defined-risk spread reach maximum loss without reassessment
+
+**Common Mistakes to Avoid**
+- Holding long OTM options to expiration hoping for recovery (usually expires worthless)
+- Selling naked short puts or calls without understanding assignment risk
+- Ignoring bid/ask spread in illiquid options (wide spread = immediate cost)
+- Over-leveraging via too many contracts on speculative OTM options
+- Forgetting earnings/ex-dividend dates that create event risk on existing positions
+
+### 7. Options Chain Reading Guide
+
+**Key Chain Columns**
+- **Bid / Ask**: Market-maker buy price and sell price — execute near midpoint for better fills
+- **Last trade price**: Often stale; use bid/ask midpoint for current value
+- **Volume**: Contracts traded today — high volume = active interest, easier to fill
+- **Open Interest (OI)**: Total outstanding contracts — high OI = liquidity and tight spreads
+- **IV per strike**: Varies by strike (shows skew visually across the chain)
+- **Delta, Gamma, Theta, Vega**: Displayed per-contract for each strike
+
+**Bid/Ask Spread Importance**
+- Wide bid/ask spread = illiquid options = avoid or expect significant slippage
+- Good liquidity threshold: bid/ask spread < 10% of option midprice
+- Actively traded tickers (AAPL, SPY, QQQ): penny-wide spreads on ATM options
+- Small-cap or low-volume stocks: may have $0.50+ spreads that erode profitability
+
+**Open Interest Accumulation as Price Levels**
+- Strikes with very high OI often act as price magnets (max pain theory) near expiration
+- Institutional hedging clusters at round number strikes (every $5 or $10 increments)
+- Dealer gamma exposure at high-OI strikes: dealers hedge dynamically, creating mechanical buying/selling pressure
+- Max pain price: strike at which maximum total options value expires worthless
+
+**Volume vs. OI Interpretation**
+- Volume > OI: New positions being opened (not just rolls of existing positions)
+- Volume << OI: Trading is closing or rolling existing positions
+- Large single print on low-OI strike: new speculative or informed position (unusual activity alert)
+- Volume spike with no news: potential informed positioning ahead of catalyst
+
+
+This section is not finished here: `Analysis Framework` continues in `references/13-data-sources.md`.

package/selected-skills/InvestSkill/plugins/us-stock-analysis/skills/options-analysis/references/13-data-sources.md

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+# Analysis Framework(continued)
+
+Part 4 of 4 for `options-analysis` — Analysis Framework; Input Formats; Output; Standard Signal Output; Thesis Invalidation
+See `SKILL.md` for what to read and when; this part is procedure, not routing.
+
+### 8. Data Sources
+
+**Primary Trading Platforms with Full Greeks**
+- **Thinkorswim (TD Ameritrade / Schwab)**: Comprehensive options chain, Greeks, IV analysis, probability cones
+- **Interactive Brokers (IBKR)**: Options analytics, volatility trader tools, probability of expiring
+- **Tastytrade**: Options-specific platform, IV rank/percentile, theta decay tracking
+
+**Free Analytics Tools**
+- **Market Chameleon**: IV rank, IV percentile, term structure, earnings IV history — all free
+- **Barchart Options**: Options flow, unusual activity, Greeks by strike (free tier available)
+- **Options Profit Calculator (optionsprofitcalculator.com)**: Visual P&L diagrams for strategies (free)
+- **Power E*TRADE**: Options analytics and strategy builder
+
+**Options Flow and Unusual Activity**
+- **Unusual Whales**: Options flow tracking, dark pool data, unusual activity scanner
+- **Flowalgo**: Real-time unusual options activity alerts (premium)
+- **Cheddar Flow**: Institutional options flow visualization
+
+**Reference Data**
+- **Options Clearing Corporation (OCC)**: Volume and OI data, contract specifications
+- **CBOE**: VIX data, volatility indices, SPX/SPY options data
+
+## Input Formats
+
+### Format 1: Greeks Analysis
+```
+User: /options-analysis AAPL --greeks
+
+Claude analyzes ATM and key strikes across near-term expirations, summarizes Greeks profile
+```
+
+### Format 2: Strategy Recommendation
+```
+User: /options-analysis TSLA --strategy bullish
+
+Claude evaluates current IV environment, selects optimal bullish strategies, provides specific setups
+```
+
+### Format 3: Earnings Play Analysis
+```
+User: /options-analysis NVDA --earnings
+
+Claude computes expected move, reviews historical earnings reactions, recommends earnings strategy
+```
+
+### Format 4: IV Analysis
+```
+User: /options-analysis SPY --iv
+
+Claude provides full IV analysis: IVR, IVP, term structure, skew, HV comparison
+```
+
+## Output
+
+Provide a comprehensive options analysis report with the following sections:
+
+### 1. Options Overview
+```
+Underlying:              [TICKER]
+Current Price:           $XXX.XX
+ATM Implied Volatility:  XX.X%
+IV Rank (IVR):           XX%    (52-wk Range: XX% - XX%)
+IV Percentile (IVP):     XX%
+Historical Volatility:   XX.X%  (30-day realized)
+IV vs. HV:               X.Xx   (Overpriced / Underpriced)
+Next Earnings:           [Date] (XX days)
+```
+
+### 2. Greeks Summary (ATM Nearest Expiry)
+```
+Strike:       $XXX       Expiry: [Date]    DTE: XX
+─────────────────────────────────────────
+Call Greeks:  Delta +X.XX | Gamma X.XX | Theta -$X.XX/day | Vega $X.XX/1%IV
+Put Greeks:   Delta -X.XX | Gamma X.XX | Theta -$X.XX/day | Vega $X.XX/1%IV
+─────────────────────────────────────────
+Expected Move (±1σ to expiry): $X.XX (X.X%)
+```
+
+### 3. IV Analysis Summary
+- IV vs. HV assessment (are options cheap or expensive?)
+- IVR/IVP interpretation with action bias
+- Term structure shape (contango vs. backwardation)
+- Skew assessment and directional implication
+- If near earnings: IV run-up remaining and expected crush magnitude
+
+### 4. Recommended Strategies (Top 2-3)
+
+For each recommended strategy:
+- Strategy name and structure (which strikes, which expiry)
+- Rationale (why this strategy fits current IV and outlook)
+- Max profit / Max loss
+- Breakeven price(s)
+- Probability of profit (from delta approximation)
+- Ideal outcome scenario
+
+### 5. Key Levels for Options
+- Strike clustering (high OI strikes = market-recognized levels)
+- Support / resistance relevant to spread placement
+- Max pain price for nearest monthly expiry
+
+### 6. Entry and Exit Guidelines
+- Suggested entry timing (DTE target, IV condition to trigger entry)
+- Profit target: close at X% of max profit (e.g., 50% for iron condors, 75% for short spreads)
+- Stop-loss trigger
+- Adjustment plan if position moves against you
+
+### 7. Upcoming Catalyst Calendar
+- Earnings date and expected move (if applicable)
+- Ex-dividend date (assignment risk for short calls)
+- Any scheduled corporate events (investor day, product launch, FDA decision)
+
+## Standard Signal Output
+
+All analysis concludes with this standardized block:
+
+```
+## Thesis Invalidation
+
+After delivering the analysis signal, specify what would reverse it:
+
+**If signal is BULLISH — thesis breaks if:**
+- IV Rank drops below 10 suggesting complacency AND put/call ratio inverts bearishly
+- [One or two more triggers drawn from this analysis's own drivers, each with a threshold]
+
+**If signal is BEARISH — thesis breaks if:**
+- unusual call buying >3x average AND IV skew flips to call premium
+- [One or two more triggers drawn from this analysis's own drivers, each with a threshold]
+
+**Re-run this analysis when:**
+- [ ] Next earnings release
+- [ ] Price moves ±15% from current level
+- [ ] 60 days have elapsed
+- [ ] Material news event (acquisition, leadership change, regulatory decision)
+
+╔══════════════════════════════════════════════╗
+║              INVESTMENT SIGNAL               ║
+╠══════════════════════════════════════════════╣
+║ Signal:      BULLISH / NEUTRAL / BEARISH     ║
+║ Confidence:  HIGH / MEDIUM / LOW             ║
+║ Horizon:     SHORT / MEDIUM / LONG-TERM      ║
+║ Score:       X.X / 10                        ║
+╠══════════════════════════════════════════════╣
+║ Action:      BUY / HOLD / SELL               ║
+║ Conviction:  STRONG / MODERATE / WEAK        ║
+╚══════════════════════════════════════════════╝
+```
+
+Score Guide: 8.0–10.0 Strongly Bullish | 6.0–7.9 Moderately Bullish | 4.0–5.9 Neutral | 2.0–3.9 Moderately Bearish | 0.0–1.9 Strongly Bearish
+Confidence: HIGH (strong data, clear signals) | MEDIUM (mixed signals) | LOW (limited data, conflicting signals)
+Horizon: SHORT-TERM (1 week–3 months) | MEDIUM-TERM (3 months–1 year) | LONG-TERM (1+ years)
+
+**Disclaimer:** Educational analysis only. Not financial advice.
+
+