Volatility skew
Volatility skew is the asymmetry in implied volatility between out-of-the-money puts and out-of-the-money calls at the same expiry. Put skew, the usual state for equity indices, means downside protection is priced higher than upside; call skew means the opposite.
Senzoukria · Glossary · Updated September 2026
Three shapes
The smile is the whole curve of IV across strikes; the skew is its tilt. Two options equally far from the money can cost very differently, and that gap is what skew measures.
| Shape | What the IV curve shows | Usual reading |
|---|---|---|
| Put skew | OTM puts carry higher IV than OTM calls | Downside protection is in demand; the normal state for equity indices |
| Call skew | OTM calls carry higher IV than OTM puts | Upside demand; seen in sharp rallies and squeezes |
| Flat skew | Both wings at similar IV | No strong directional bias in option pricing |
How skew is read and measured
- Visually, on the smile: which wing lifts and by how much.
- Numerically, with the 25-delta risk reversal, IV of the 25-delta call minus IV of the 25-delta put; negative values indicate put skew, positive values call skew.
- Over time, as a history: the site's guide describes a skew that turns bearish while price still rises as a divergence worth noting, and skew aligned with price as confirmation. Both are reading rules to test, not laws.
- Skew is expiry-specific. The front expiry and a six-month expiry can show different tilts on the same day.
Skew and gamma exposure
Skew and GEX come from the same chain but answer different questions. Skew reads the IV column; GEX weights gamma by open interest under a positioning assumption. A steep put skew changes the gamma of the put wing, so it feeds into the exposure calculation, but it does not by itself say where the walls or the flip are. Reading them side by side is a way to check whether the modeled hedging levels and the priced fear point in the same direction.
In Senzoukria
The GEX module has a Volatility page with the IV Smile chart, the IV Term Structure and a 25Δ Skew panel, and the module's toolbar carries a 25Δ skew value next to Spot, Flip, Call wall, Put wall and Total GEX. A "25Δ skew · session" history records the value through the day, and the screen notes when only one point has been recorded so far. The site's /volatility page presents the smile, the skew and the term structure on a generated surface, with regimes named calm, stressed or inverted, as a demonstration of the layout.
Everything on that page is computed from the chain returned by the configured options source; when the chain has no IV the page says so and draws nothing.
Common mistakes
- Reading put skew as a bearish forecast; for equity indices it is the baseline state.
- Comparing the skew of two expiries or two underlyings as if they had the same scale.
- Confusing a change in skew with a change in ATM IV; the level and the tilt move independently.
- Inferring positioning from skew alone; the skew is a price pattern, not a position.
Related
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Frequently asked questions
- Why do equity index options usually show put skew?
- Because demand for downside protection is persistent among holders of equity portfolios, and because index returns have historically shown larger downside moves than upside ones. Both keep out-of-the-money puts priced at a higher implied volatility than out-of-the-money calls in normal conditions.
- What does a flattening or flipping skew indicate?
- A flattening skew means the put wing has come down relative to the call wing, or the call wing has risen; a flip to call skew means upside is now priced higher than downside. The site's guide treats a skew that moves against price as an early warning to examine. Whether such changes lead price should be measured on a defined rule rather than assumed.
- Is skew the same as the volatility smile?
- No. The smile is the full curve of implied volatility across strikes at one expiry. The skew is the asymmetry of that curve, the difference between its two wings. A symmetric smile has zero skew; a tilted one has put or call skew.