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Trading Volatility: Skew Dashboard

Skew Dashboard

Notes on Skew and Delta data:
- Based on the price of options, each stock has an implied volatility (IV). The Implied Volatility tells us how much a stock is likely to move over a period of time (one Standard Deviaiton).
- We take measurements of Put and Call Deltas for options that are one standard deviation out-of-the-money with ~ 30 days to expiration.
- The "Delta" for a given contract is the probabilty that the option will expire in the money.

Interpretation of Data:
- A stock with option prices skewed toward calls will have a larger call delta.
- A stock with option prices skewed toward puts will have a larger put delta.
- The current Call-Put Delta Spread should be evaluated with respect to its Average Call-Put Delta Spread.

Current skew values:

Data Table Details:
- Our data looks at all options with less than 94 days to expiration.
- "1 Standard Deviation" is calculated using an average of IVs around the At-The-Money strikes, and then converted to IV for the given period of Days To Expiraiton.