derivatives_option-chain-analysis
Calculate max pain, put-call ratio, and skew metrics from an options chain to identify market sentiment and implied volatility smile.
Instructions
Option chain analytics: skew, max pain, put-call ratios.
Use when analyzing an options chain for skew, max pain, and put-call ratios. Provide arrays of strikes, calls, puts, and open interest. Returns: max pain strike, put-call ratio, skew metrics, and implied volatility smile data.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| T | No | Time to expiration in years | |
| r | No | Risk-free interest rate | |
| spot | Yes | Current spot price of the underlying | |
| chain | Yes | Array of option chain entries |