---
name: longbridge-options-advanced
description: |
  Advanced options strategy framework via Longbridge — volatility surface concepts (SABR/local vol), dynamic Delta hedging, calendar spread, diagonal spread, volatility arbitrage (long vol/short vol), and skew trading. Triggers: "高级期权", "波动率套利", "日历价差", "对角价差", "动态对冲", "偏斜交易", "SABR", "Long Vol", "Short Vol", "Delta对冲", "伽马交易", "高階期權", "波動率套利", "日曆價差", "對角價差", "動態對沖", "偏斜交易", "advanced options", "calendar spread", "diagonal spread", "volatility arbitrage", "long vol short vol", "skew trade", "dynamic delta hedging", "gamma scalping", "SABR model".
license: MIT
metadata:
  author: longbridge
  version: "1.0.0"
  risk_level: read_only
  requires_login: false
  default_install: true
  requires_mcp: false
  tier: analysis
---

# 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.

```bash
# 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/
```