Skew Calculations and Terms Glossary:

• 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.
• "Expected Move" is defined as a One Standard Deviation Move, derived from the stock's current Implied Volatility.
• We measure skew three different ways.
1. 25-Delta Risk Reversal: Measures the percentage IV premium of 25-delta puts over 25-delta calls. Positive = stronger downside hedge demand. Negative = call-side skew. e.g. "38% == Puts at 25-delta are 38% more expensive thatn calls at 25-delta"
2. 1σ Wing Skew: Put IV minus Call IV for options that are one standard deviation out-of-the-money with ~ 30 days to expiration.
3. Delta Skew: Call Deltas minus Put Delta for options that are one standard deviation out-of-the-money with ~ 30 days to expiration.

Interpretation of Data:

• A stock with a positive 25-Delta Risk Reversal has option demand skewed toward puts.
  
• A stock with a negative 25-Delta Risk Reversal has option demand skewed toward calls.
  
• Sentiment can be evaluated by comparing the Current values vs their historical percentiles (See advanced metrics).
  

Implied Volatility Changes:
- Large changes in IV that are not accompanied by large price changes in the underlying are often a prelude to underlying price movements.

Percent Net Change of the Normalized 30-Day Option Price:
- Shows where on the curve option prices were bid up or sold off since the prior session, rather than the level of implied volatility itself.
- Each session's curve is repriced on a normalized underlying (share price set to 1) at a constant 30-day maturity, then the two are compared. Holding maturity fixed matters: the "30-day" expiration we track is whichever listed expiration sits nearest 30 days, so its actual life shortens each session and jumps back up after a roll. Pricing each session at its own remaining life would fold that time decay into the comparison and paint the curve negative on an otherwise quiet day.
- Because of this, the chart shows the change in a constant-maturity option, not the change in any single tradeable contract — a contract you actually hold also loses time value each day.
- The baseline is the prior session's closing snapshot. A chart viewed in the morning therefore shows the move since last night's close, not a fixed 24-hour window — the same convention as a daily price change.
- The horizontal axis is standard deviations out-of-the-money, so the same point means the same relative distance from spot on both days even if the share price moved. Its range is set by the strikes actually quoted for that ticker, so it differs from one ticker to the next and is printed under the axis.
- A parallel rise in implied volatility is worth proportionally more to a far out-of-the-money option than to an at-the-money one, so the wings usually move further on this chart than the middle does.

Skew 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 dollars of share price for the given period.