25-delta risk reversal
The 25-delta risk reversal is the standard measure of volatility skew: the implied volatility of the 25-delta call minus the implied volatility of the 25-delta put at the same expiry. A negative value means put skew, a positive value call skew, and the site's guide treats readings within roughly −2% to +2% as neutral.
Senzoukria · Glossary · Updated September 2026
The formula
RR = IV(25-delta call) − IV(25-delta put). Delta measures how much an option's price moves per unit move in the underlying; a 25-delta call and a 25-delta put are both out of the money by a comparable amount in probability terms, so comparing their implied volatilities isolates the tilt of the smile from its level. The result is expressed in volatility points.
The name comes from the options strategy of the same name, which buys one wing and sells the other. As a measure, the risk reversal is just the difference between two IVs; no position is implied.
Why 25 delta rather than a fixed strike
- A fixed strike drifts in and out of the money as spot moves, so its IV changes for reasons unrelated to skew; a fixed delta stays at a comparable distance from the money.
- Delta-based points are comparable across expiries and across underlyings with different price levels.
- The 25-delta options are usually liquid enough on index products for their quotes, and therefore their IVs, to be reliable.
- Other delta points exist (10-delta risk reversals describe the far wings); 25 delta is the common reference.
Reading sign and size
A negative risk reversal is put skew: downside protection priced above upside. A positive one is call skew. The site's guide on volatility skew uses roughly −2% to +2% as a neutral band and describes readings beyond it as a protection bias or an upside bias. The level of the band is a convention, not a threshold with proven predictive value; what matters more is the change over time and the comparison with price. A risk reversal that becomes more negative while the underlying rises is the divergence case the guide describes as worth watching.
Because the measure is built from two IVs, it inherits their limitations: provider model, quote timing and, when the exact 25-delta option does not exist, the interpolation used to obtain it.
In Senzoukria
The GEX module computes the 25-delta skew from the loaded chain and shows it in the module toolbar as "25Δ skew" alongside Spot, Flip, Call wall, Put wall and Total GEX. The Volatility page carries a 25Δ Skew panel and a session history ("25Δ skew · session") that records the value through the day; with a single point the screen says a second one is needed to draw the line. The value is only computed when the chain returned by the configured options source carries implied volatility; otherwise the page reports that nothing can be computed.
Common mistakes
- Reading the sign without the expiry; front and back expiries can have different risk reversals.
- Comparing a risk reversal in volatility points with one expressed as a ratio of the two IVs.
- Treating the neutral band as a trading threshold rather than a descriptive convention.
- Taking the strategy name literally and assuming a position exists behind the number.
Related
This page in other languages
Frequently asked questions
- What does a negative 25-delta risk reversal mean?
- It means the 25-delta put carries a higher implied volatility than the 25-delta call at that expiry: put skew. For equity indices this is the usual state, reflecting persistent demand for downside protection. The size of the number and its change over the session say more than the sign alone.
- How is the 25-delta option found when no listed strike has exactly 25 delta?
- Providers interpolate between the two listed strikes whose deltas bracket 25, either on the IV curve or on the delta curve. The interpolation method affects the result by a small amount, which is one reason two sources can publish different risk reversals for the same chain.
- Is the risk reversal related to gamma exposure?
- Indirectly. Both are computed from the same option chain, and the implied volatilities that define the risk reversal also enter the gamma of each contract. But the risk reversal is a pricing measure of the smile's tilt, while GEX is a modeled positioning quantity weighted by open interest. They are shown together in the GEX module so that they can be compared, not because one derives from the other.