longbridge-options-advanced

longbridge-options-advanced

Prompt-only analysis skill. Covers advanced options and volatility strategies for experienced traders — calendar/diagonal spreads, dynamic delta hedging, vol arbitrage, and skew trading — grounded in live Longbridge data.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

• "我想做日历价差，近月和远月 IV 哪个贵？" / "Calendar spread — near vs far month IV?"
• "TSLA 偏斜很陡，怎么交易 skew？" / "TSLA skew is steep, how to trade it?"
• "如何做动态 Delta 对冲？" / "How do I dynamically delta-hedge?"
• "什么情况下做 Long Vol vs Short Vol？" / "When to go long vol vs short vol?"
• "SABR 模型是什么？" / "Explain the SABR model"

For basic strategies route to longbridge-options-strategy. For P&L and Greeks route to longbridge-options-pnl.

CLI

Run longbridge <subcommand> --help to verify exact flags.

# Option chain across expiries — compare IV term structure
longbridge option chain <SYMBOL> --format json
longbridge option chain <SYMBOL> --date <NEAR_EXPIRY> --format json
longbridge option chain <SYMBOL> --date <FAR_EXPIRY> --format json

# Historical price for realized vol and HV regime
longbridge kline <SYMBOL> --period day --count 120 --format json

# Underlying spot
longbridge quote <SYMBOL> --format json

Strategy reference

Calendar spread (时间价差 / 日曆價差)

• Structure: sell near-month option, buy same-strike far-month option (both calls or both puts).
• Profit from: near-month IV rich vs far-month, or time decay differential.
• Risk: large underlying move before near expiry; vega risk if far-month IV drops.
• Check: compare ATM IV for near vs far expiry from chain; enter when near/far IV ratio > 1.1.

Diagonal spread (对角价差 / 對角價差)

• Structure: sell near-month OTM option, buy far-month different-strike option.
• vs Calendar: directional bias added via strike selection.

Dynamic Delta hedging (动态 Delta 对冲 / 動態 Delta 對沖)

• Hold option position; hedge Delta with underlying shares or futures.
• Re-hedge when Delta drifts beyond a threshold (e.g. ±0.05) or on a time schedule.
• Gamma scalping: long gamma + delta-neutral → profit from re-hedging realised vol > IV paid.
• Short gamma: short options + hedged → profit if realised vol < IV collected.

Vol arbitrage — Long Vol / Short Vol

• Long Vol: buy options (straddle/strangle) when IV cheap vs expected realised vol.
• Short Vol: sell options (strangle/condor) when IV rich; manage gamma risk with hedges.
• Signal: IV/HV ratio. IV/HV > 1.3 → rich (short vol candidate); < 0.8 → cheap (long vol candidate).

Skew trade (偏斜交易 / 偏斜交易)

• OTM put IV > OTM call IV = positive skew (norm for equities, fear-driven).
• Fade skew: sell OTM puts, buy OTM calls (risk-reversal) when skew excessive.
• Follow skew: buy OTM puts when tail risk underpriced.
• Measure: compare 25-delta put IV vs 25-delta call IV from the chain.

SABR model (conceptual)

• Stochastic Alpha Beta Rho — captures vol smile dynamics analytically.
• Parameters: α (vol level), β (CEV exponent), ρ (spot-vol correlation), ν (vol of vol).
• Longbridge data supports manual calibration: extract IV smile from chain, fit SABR numerically.

Workflow

1. Identify the strategy type from the user's question.
2. Fetch chain for relevant expiries + kline for HV calculation.
3. Compute the key signal (IV term structure ratio / IV-HV ratio / skew spread).
4. Explain structure, entry signal, risk, and exit criteria.
5. Show example legs with live strikes from the chain.
6. Output structured response (template below).

Output template

{Symbol} advanced options analysis — Source: Longbridge Securities

[Vol regime]
- ATM near-month IV: X%  |  ATM far-month IV: X%  |  Term ratio: X
- 60-day HV: X%  |  IV/HV: X  → {rich / fair / cheap}
- Put skew (25Δ put − 25Δ call): +X pp

[Strategy: {Name}]
Rationale: {1-2 sentences}
Legs:
  Sell: {OCC} @ ${prem}  (IV: X%)
  Buy:  {OCC} @ ${prem}  (IV: X%)
Net debit/credit: ${X}
Max profit: ${X}  |  Max loss: ${X}
Key risk: {describe}
Re-hedge trigger (if delta-hedged): Delta drift ±{threshold}

⚠️ 以上分析仅供参考，不构成投资建议。/ 以上分析僅供參考，不構成投資建議。/ For reference only. Not investment advice.

Error handling

| Situation | 简体回复 | 繁體回復 | English reply | |---|---|---|---| | command not found: longbridge | 切换到 MCP；若不可用，请安装 longbridge-terminal | 切換至 MCP；若不可用，請安裝 longbridge-terminal | Fall back to MCP; if unavailable, install longbridge-terminal | | stderr not logged in | 请执行 longbridge auth login | 請執行 longbridge auth login | Run longbridge auth login | | Only one expiry available | 无法构建日历价差，仅有单一到期日 | 無法構建日曆價差，僅有單一到期日 | Cannot build calendar spread — only one expiry available | | Kline < 60 bars | HV 样本不足，波动率比较仅供参考 | HV 樣本不足，波動率比較僅供參考 | HV sample insufficient; vol comparison is indicative only |

MCP fallback

When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime — do not rely on hardcoded tool names.

Related skills

• IV percentile and smile → longbridge-options-volatility
• P&L and Greeks payoff → longbridge-options-pnl
• Basic strategies → longbridge-options-strategy
• Raw chain / quotes → longbridge-derivatives

File layout

longbridge-options-advanced/
└── SKILL.md          # prompt-only, no scripts/