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skew: skew by expiration

skew is the ConvexValue Terminal app that draws the skew term structure of a symbol: for every expiration, the implied volatility of a put and of a call of the same delta, the at-the-money IV, and the difference between the two as one number.

How to use skew

skew SYMBOL [param=value ...]
skew AAPL

The symbol is required. Type the command in the command bar of a pane, or set the same parameters in the control panel (the ⚙️ at the right of the bar). In a browser, the app opens at convexvalue.com/go/skew/.

Parameters

Parameter Values Default What it does
SYMBOL An underlying symbol, or @ required The underlying. @ is the global symbol.
exp Numbers, ranges or both: 1, 1-5, 1-5,10 every expiration Which expirations to show. 1 is the nearest.
d A whole number, a delta in hundredths 25 The delta of the put and of the call that are compared. d=10 compares the 10-delta options.
a A whole number the value of d The delta of the put, when it differs from the call's.
b A whole number the value of d The delta of the call, when it differs from the put's.
c A whole number 50 The delta taken as at-the-money.

Examples

skew AAPL

The 25-delta skew of every expiration of AAPL.

skew SPY exp=1-10

The ten nearest expirations of SPY.

skew SPX d=10

The 10-delta options instead: farther from the money.

skew NVDA d=25 exp=2-8

The second to the eighth expiration, leaving out the one about to expire.

How to read it

  • The horizontal axis is the expiration date. Each expiration has four points, joined into four lines.
  • Yellow is the IV of the call at the chosen delta, blue the IV of the put, grey the at-the-money IV. They share the IV scale.
  • Red is the skew: the put's IV minus the call's, divided by the at-the-money IV. It has its own scale.
  • Skew above zero: the put costs more IV than the call of the same delta. Below zero: the call costs more.
  • Hover an expiration to read its date and the four values. The legend always says "d25", whatever d is.
  • terms: the level of IV by expiration, against the days before.
  • olay: the IV of every strike, where the skew comes from.
  • ip: the ranges the option prices imply.