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.

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.