AgentSkillsCN

options-market-making

适用于期权做市的报价表面管理、库存与希腊指标平衡，以及跨行权与到期日的逆向选择控制工作流。当任务涉及在期权簿中持续进行双边报价时，可选用此类工作流。

SKILL.md
--- frontmatter
name: options-market-making
description: "Options market making workflows for quote-surface management, inventory-greek balancing, and adverse-selection control across strikes and maturities. use when tasks involve continuous two-sided quoting in options books."

Options Market Making

objective

Run options quoting engines with stable spread capture and controlled greek/inventory risk.

workflow

  1. •define quoting universe and per-node spread/size rules.
  2. •compute quote adjustments from skew, surface, and inventory states.
  3. •hedge delta and vega exposures with latency-aware execution.
  4. •stress quote toxicity under jumps and volatility regime breaks.
  5. •deploy only when quote capture remains positive after hedge costs.

required diagnostics

  • •quote hit-rate and adverse-selection by node.
  • •inventory and greek drift after fill bursts.
  • •spread capture versus hedge slippage decomposition.
  • •latency impact on stale-quote losses.
  • •node-level pnl concentration and failure hotspots.

risk controls

  • •enforce per-node greek and inventory hard limits.
  • •enforce stale-quote cancellation thresholds.
  • •enforce volatility-halt mode for disorderly markets.

outputs

  • •run python scripts/options_market_making_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/options-market-making-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/options_market_making_diagnostics.py for deterministic diagnostics.
  • •use references/options-market-making-playbook.md for the domain checklist and delivery structure.