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.

Reading the columns:
- Standard Deviations Out-of-the-Money is the horizontal position. One standard deviation is the 30-day expected move — at-the-money IV × √(30/365) — so it is a distance in share price, expressed in units that mean the same thing on any ticker at any volatility level. Negative is below spot (puts), positive is above (calls), and 0 is at-the-money.
- These are 30-day standard deviations, not daily ones. One of them is roughly four to five average daily moves. Example: SPY at $747.41 with a 13.3% 30-day IV has a 1σ unit of 3.81% of share price, so −3σ is the $666 strike — about 11% out-of-the-money, not a three-day move.
- Gain and Loss are the same measurement, split into two columns so the chart can fill the two regions in different colors. Exactly one is populated on each row: Gain where the option's price rose since the prior session, Loss where it fell. The single row carrying 0 in both columns is the point where the curve crosses zero, inserted so the two shaded areas meet cleanly.
- The value is a percentage of that option's own premium — not a change in implied volatility, and not a dollar amount. Worked example: on the SPY $666 strike, IV rose from 24.44% to 25.54%. That is 1.10 volatility points, or a 4.5% relative change in IV, but the option's normalized price rose from about $1.06 to $1.31 — a Gain of roughly 23%.
- At-the-money, the price change and the relative IV change are the same number, because an at-the-money option's value is very nearly proportional to its volatility. Away from the money they diverge quickly: the same 1.10 volatility points that moved the $666 strike 23% would move an at-the-money option only about 8%. This is why the chart is built on price rather than on IV — the divergence is the information.
- In the far wings, read the shape rather than the individual numbers. Deeply out-of-the-money options carry very little premium, so a small change in price is a large percentage, and the strikes out there are quoted sparsely and trade thinly. Readings beyond roughly ±3σ will look large and will jump around from point to point; the trend across a region is meaningful, a single point is not.

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.