Purpose
Convert a raw set of market inputs — earnings dates, regulatory news, macro releases, and geopolitical developments — into a ranked, exposure-weighted watchlist of volatility catalysts, so a desk knows which events actually threaten its book, when they hit, and what to do about them. Eliminates the gap between "there's a calendar" and "here's what matters to us this week."
When to Use
Invoke this skill when the user asks to:
- Scan the week or month ahead for events that could move their positions
- Flag volatility catalysts relevant to a specific book, sector, or portfolio
- Prepare a trading desk for an earnings-heavy or macro-heavy period
- Assess event risk before a large position, rollover, or expiry
- Build a forward-looking catalyst calendar with risk scoring
- Identify which upcoming events warrant pre-emptive hedging
Inputs Required
Before starting, collect:
- Book/portfolio exposures: Tickers, sectors, asset classes, and rough position sizes or directional bias
- Time horizon: The window being scanned (e.g., next 5 trading days, next 30 days)
- Input feeds provided: Earnings calendar entries, regulatory/central bank items, geopolitical headlines, macro release schedule
- Current volatility regime: Baseline — is IV elevated, compressed, or normal for the relevant instruments?
- Risk tolerance / mandate: What the desk is trying to avoid (drawdown limits, VaR ceiling, gap-risk sensitivity)
- Existing hedges: Any protection already in place (options, inverse positions, stops)
If exposures are given without sizes, treat all as equal-weight and flag the assumption. If no volatility regime is provided, assume normal and note it.
Instructions
Step 1: Classify Every Input Into a Catalyst Type
Sort each provided item into one of five catalyst classes, each with a distinct volatility profile:
- Scheduled corporate (earnings, guidance, dividend/buyback announcements): High-precision timing, single-name impact, IV crush post-event
- Scheduled macro (CPI, NFP, FOMC, central bank decisions, GDP): Precise timing, broad cross-asset impact, rate/FX sensitivity
- Regulatory / policy (rulings, investigations, filings, approvals, sanctions): Variable timing, sector or single-name impact, tail-heavy
- Geopolitical (conflict escalation, elections, trade actions, commodity supply shocks): Low timing precision, cross-asset and commodity/FX impact
- Structural / flow (index rebalances, options expiry, quad-witching, large lockup expiries): Precise timing, mechanical liquidity/gamma effects
Discard items with no plausible link to any held or watched exposure — but note them as "monitored, low relevance" rather than dropping silently.
Step 2: Map Each Catalyst to Book Exposure
For each surviving catalyst, establish the transmission path to the book:
- Direct: Event hits a held name/instrument directly
- Sector/peer: Event hits a peer or sector the book is exposed to (read-through risk)
- Cross-asset: Event moves a driver the book is sensitive to (rates, USD, oil, credit spreads, VIX)
- Correlation/basket: Event that moves a broad risk factor affecting multiple positions at once
Note the expected directional pressure on the book (long-book negative, short-book positive, or non-directional vol expansion).
Step 3: Score Each Catalyst
Assign three scores, then a composite:
- Expected impact (1–5): Magnitude of likely move — informed by historical event moves, implied vol pricing, and position concentration
- Timing precision (1–5): How known the timing is — scheduled release (5) vs. open-ended geopolitical (1). Low precision means the risk is harder to hedge cheaply
- Exposure relevance (1–5): How much of the book is in the transmission path — a direct hit on a large position scores 5; a distant cross-asset read-through scores 2
- Composite priority:
Impact × Exposure Relevance, then use Timing Precision as the tiebreaker and hedge-cost modifier. Label each Critical / Elevated / Monitor.
Step 4: Attach Hedging & Action Implications
For every Critical and Elevated catalyst, specify:
- Pre-event stance: Reduce, hedge, or hold-and-monitor — with the rationale
- Instrument: The cleanest hedge (single-name puts, index puts, VIX exposure, FX/rate hedge, spread) given the transmission path
- Cost consideration: Whether IV is already pricing the event (crowded/expensive) or under-appreciated (cheap protection)
- Trigger to act: A concrete pre-event condition (e.g., "if IV rank < 40 by T-2, buy protection")
Step 5: Build the Forward Timeline
Sequence all catalysts chronologically across the horizon, flagging clustering days where multiple catalysts land together (compounding gap risk) and any "quiet before the storm" windows suitable for positioning.
Output Format
- Structure: Ranked catalyst watchlist (table) → forward timeline → hedging action summary
- Length: 700–1,100 words plus the table
- Format: A scored table (Catalyst | Type | Date/Timing | Transmission Path | Impact | Timing | Relevance | Priority) followed by structured bullets for hedging actions and a chronological timeline
- Sections: Ranked Catalyst Watchlist → Critical/Elevated Hedging Actions → Forward Timeline & Clustering → Monitored/Low-Relevance Notes
- Tone: Risk-desk analyst — terse, quantified, action-first; no hedging language about the hedging language
Quality Checklist
Before delivering output, verify:
- [ ] Every provided input is classified into exactly one catalyst type or explicitly listed as low-relevance
- [ ] Each catalyst has all three scores (impact, timing, relevance) and a composite Critical/Elevated/Monitor label
- [ ] Each Critical and Elevated catalyst has a named hedge instrument and a concrete action trigger
- [ ] The transmission path to the book is stated for every scored catalyst — not left implicit
- [ ] Clustering days (multiple catalysts on one date) are explicitly flagged in the timeline
- [ ] Priority ranking is driven by Impact × Exposure Relevance — not by date order or catalyst type alone
Notes
- Timing precision is often the deciding factor: a high-impact geopolitical risk with no known date is harder and more expensive to hedge than a scheduled earnings print of equal magnitude — treat the two differently.
- Watch for events already priced in: if implied vol is elevated ahead of a known catalyst, protection is expensive and the risk may be the vol crush afterward, not the event itself.
- Clustering matters more than any single event — three medium catalysts on the same session can produce more book damage than one large isolated one, because hedges and stops interact.
- This scan is a decision input, not an execution order; final hedging is subject to the desk's mandate, liquidity, and cost constraints.
How to use this skill
This file is a Claude Code skill in Anthropic's standard format — markdown with YAML frontmatter at the top.
Installing in Claude Code:
~/.claude/skills/<folder-name>/SKILL.md— auto-loads in every session anywhere on your machine (recommended for skills you'll use across multiple projects)<your-project>/.claude/skills/<folder-name>/SKILL.md— auto-loads only when working in that project (recommended for project-specific skills)
Restart Claude Code or open a new session to register.
Using in Claude.ai, ChatGPT, Gemini, or other AI tools:
- Drag this file into a new chat, or copy and paste its contents
- Send your task or request as your next message — the AI will apply the skill where it fits
For Claude Code skill details: https://docs.anthropic.com/en/docs/claude-code/skills