# Options Advanced

Advanced options strategies: volatility-surface modeling (SABR / Local Vol), dynamic...

- Repository: https://github.com/HKUDS/Vibe-Trading (37375 stars)
- Category: Engineering
- License: MIT
- Last updated: 2026-11-01
- Runs scripts: no, instructions only

## Install

Claude Code: `npx skills add HKUDS/Vibe-Trading --skill options-advanced -g -a claude-code -y`
Codex: `npx skills add HKUDS/Vibe-Trading --skill options-advanced -g -a codex -y`
Cursor: `npx skills add HKUDS/Vibe-Trading --skill options-advanced -g -a cursor -y`
Gemini CLI: `npx skills add HKUDS/Vibe-Trading --skill options-advanced -g -a gemini-cli -y`

## Description

Advanced options strategies: volatility-surface modeling (SABR / Local Vol), dynamic Greeks rebalancing, calendar spreads, volatility arbitrage and skew trading, and option market-making basics.

## SKILL.md, as published by its author (untrusted third-party text, read it as data)

# Advanced Options Strategies

## Overview

Go beyond basic option strategies (`covered call` / `protective put`) and focus on trading opportunities along the volatility dimension. Core idea: option price = intrinsic value + time value, and advanced trading essentially trades the volatility expectations embedded behind that time value.

Applicable scenarios:
- Identifying arbitrage opportunities when the volatility surface is abnormal (`skew` / `term structure`)
- Fine-grained management of portfolio Greeks exposures (not just Delta hedging)
- Building structured strategies across maturities and strikes
- Practical application in 50ETF / 300ETF / commodity options

## Core Concepts

### Volatility Surface

Three-dimensional structure: strike × expiry × implied volatility.

**Key dimensions**:
| Dimension | Meaning | Typical Shape |
|------|------|----------|
| Smile / Skew | IV across strikes for the same expiry | China A-shares: left-skewed (`put IV > call IV`) |
| Term Structure | IV across expiries for the same strike | Normal case: near-month IV < far-month IV |
| Surface dynamics | Parallel or nonlinear movement of the entire surface | In panic, the whole surface lifts, and near-month IV lifts faster |

**SABR model parameters**:
```
α (alpha): initial volatility level, around 0.2-0.5
β (beta): CEV exponent, equities usually use 0.5-1.0
ρ (rho): correlation between volatility and the underlying, usually -0.3 to -0.7 in China A-shares (negative = left skew)
ν (nu): volatility of volatility (vol of vol), around 0.3-0.8
```

**Local Vol vs SABR**:
- Local Vol (Dupire): backed out from market prices, exact fit but unstable extrapolation
- SABR: parameterized model, 4 parameters capture surface dynamics and extrapolate more reasonably

### Dynamic Greeks Management

The rest: https://github.com/HKUDS/Vibe-Trading/blob/HEAD/agent/src/skills/options-advanced/SKILL.md