Fixed-moneyness skew (wing skew)
A fixed-moneyness skew compares the implied volatility of strikes placed a fixed percentage below and above spot, for example 95% and 105%. It needs no delta calculation, so it can be read directly from quoted strikes, but the same percentage represents very different distances in probability for short and long expiries.
Senzoukria · Glossary · Updated September 2026
At a glance
- Formula
- IV(K = S × (1 − w)) − IV(K = S × (1 + w)), e.g. w = 5%
- Advantage
- Needs only quoted strikes and implied volatilities
- Limitation
- Not comparable across expiries
Definition
Pick a wing width, say 5%. Read or interpolate the implied volatility at 95% of spot, on the put side, and at 105% of spot, on the call side, and subtract the second from the first. A positive value means downside strikes are priced at higher volatility, the usual state for equity indices. Variants include 90/110 and ratios normalised by the at-the-money volatility, such as the difference between the 90% and 110% volatilities divided by the at-the-money volatility used in Cboe's own illustration of skew.
Worked example
With spot at 100, the 30-day smile quotes 20% at 94, 19% at 96, 14.5% at 104 and 13.5% at 106. Linear interpolation gives 19.5% at 95 and 14.0% at 105, so the 5% wing skew is 5.5 volatility points. The same 5% distance means something different by maturity: with 20% volatility, the 95 put has a delta of about −0.03 at 7 days, −0.18 at 30 days and −0.29 at 90 days.
| Days to expiry | 95 put delta | 105 call delta |
|---|---|---|
| 7 | −0.03 | 0.04 |
| 30 | −0.18 | 0.21 |
| 90 | −0.29 | 0.33 |
Fixed moneyness or fixed delta
- A 25-delta risk reversal compares strikes at the same delta, adjusting their distance for time and volatility; it is the standard for comparing expiries.
- A fixed-moneyness skew compares strikes at the same percentage distance; it is simple and model-free once implied volatilities are known, but for short expiries it reaches far into the wings.
- Interpolation between quoted strikes is part of the measurement; extrapolation beyond the last quoted strike should be refused rather than guessed.
In Senzoukria
The IV Smile panel of the GEX module prints a ±5% wing skew for the selected expiry: the implied volatility interpolated linearly at spot × 0.95 minus the one at spot × 1.05, positive when puts are priced higher. When either wing falls outside the quoted strikes, the panel says that no wing skew was measured instead of extrapolating. The documentation stresses that this measure is not the 25-delta skew, which the app shows separately as 25Δ skew in the header and overview.
Related
- Volatility skew
- 25-delta risk reversal
- 25-delta butterfly
- Volatility smile
- Volatility: smile, term structure and skew
In the same section
- Flatten
- Fixed ratio sizing
- Fleeting orders
- Fixed range volume profile
- FOMO
- Fixed fractional sizing
- Footprint cell
- FIX protocol
Sources
- Cboe — The Cboe SKEW Index white paper (2026-09-25)
This page in other languages
Frequently asked questions
- Why does Senzoukria show both a wing skew and a 25-delta skew?
- Because they answer different questions. The wing skew uses only quoted strikes and implied volatilities of one expiry at a fixed percentage from spot. The 25-delta skew compares strikes at equal delta, which makes it comparable across expiries but requires a delta for each point.
- Is a larger fixed-moneyness skew on a weekly option a sign of more fear?
- Not necessarily. For a short expiry, 5% is several standard deviations away, so the wing implied volatility reflects tail pricing more than for a monthly option. Comparing skews across expiries should use delta or standardized moneyness.