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Skew Dashboard - Trading Volatility

Skew Dashboard

You must Sign In to view this page. Below is a sample of our Skew dashboard.

Notes on Skew and Delta data:
- Based on the price of options, each stock has an implied volatility (IV). The Implied Volatility defines the one standard deviation move over a given period of time.
- 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 defined as the probability that the option will expire in the money.)

Interpretation of Data:
- A stock with a positive Call Skew has option demand skewed toward calls.
- A stock with a negative Call Skew has option demand skewed toward puts.
- The Current Call Skew should be evaluated with respect to its Average Call Skew.

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.