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Put/Call Skew

A simplified proxy: the implied-volatility spread between a ~10%-out-of-the-money put and a ~10%-out-of-the-money call at the nearest-to-30-day expiry. Always available even when the 25-delta version can't find a matching strike - use it as the fallback read.

Put/Call Skew

What it measures

A simplified proxy for the industry-standard 25-delta skew: the implied-volatility spread between a roughly 10%-out-of-the-money put and a roughly 10%-out-of-the-money call at the nearest-to-30-day expiry.

Formula

Skew ~= IV(~10% OTM Put) - IV(~10% OTM Call)

Normal range

Positive means the market is paying more for downside protection (puts pricier); negative means more demand for upside exposure (calls pricier).

How it fails

This is explicitly an approximation, not the real 25-delta calculation (which needs a full option-pricing delta model this project doesn't compute) - useful for direction of skew, not precise magnitude comparison against sources that do compute true 25-delta.

Related metrics

DVOL

Bull read

Negative skew (calls pricier) suggests the options market is paying up for upside exposure.

Bear read

Positive skew (puts pricier) suggests demand for downside protection - but hedging demand isn't the same as a prediction that downside will happen.

Worked example

No worked example. This metric’s underlying data is shown only in this project’s internal lab view, per its source’s licence terms - no worked example on the public site.

Full metric page not published yet.