Wetin be volatility skew? Di smile wey dem measure

Volatility skew na di pattern wey dey show for option chain where different strikes for di same stock, with di same expiration, dey trade for different implied volatilities. For textbook, every strike suppose carry one volatility. For real market, downside strikes almost always cost pass — na tilt wey di market don carry since di 1987 crash, and one wey you fit measure directly.

Di skew for SPY, strike by strike

Na dis be di actual curve: out-of-the-money options for SPY, one expiration window, implied volatility by strike level, from real closing prices:

SELECT concat(toString(round(100 * b)), '% of spot') AS strike_vs_spot,
       round(100 * median(implied_volatility), 1) AS otm_iv_pct
FROM (
    SELECT implied_volatility, round(strike_price / underlying_close / 0.05) * 0.05 AS b, option_type
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY' AND date = toDate('2026-07-15')
      AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND strike_price / underlying_close BETWEEN 0.83 AND 1.12
      AND expiration_date BETWEEN date + 20 AND date + 45
)
WHERE (b < 1 AND option_type = 'P') OR (b > 1 AND option_type = 'C') OR b = 1
GROUP BY b
HAVING count() >= 10
ORDER BY b

Read am from left to right: one put wey dem strike 15% below di market dey trade for 27.5% implied volatility, di at-the-money level na 13.4%, and one call wey dem strike 5% above di market cheap pass for 10.5%. Di same underlying, di same expiration — di only thing wey dey change na di strike, and di market dey charge more than twice di volatility for di deep downside. Crash insurance cost pass lottery tickets; di chart na dat sentence, wey dem draw.

Di smirk universal? Di whole market, wey dem measure

SELECT count() AS underlyings,
       countIf(put_iv > call_iv) AS puts_richer,
       round(100.0 * countIf(put_iv > call_iv) / count(), 1) AS pct_puts_richer,
       round(100 * quantileExact(0.5)(put_iv - call_iv), 1) AS median_skew_points
FROM (
    SELECT underlying_symbol,
           medianIf(implied_volatility, option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) AS put_iv,
           medianIf(implied_volatility, option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) AS call_iv
    FROM global_markets.options_greeks
    WHERE date = toDate('2026-07-15') AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND expiration_date BETWEEN date + 20 AND date + 60
    GROUP BY underlying_symbol
    HAVING countIf(option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) >= 5
       AND countIf(option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) >= 5
       AND sum(volume) >= 500
)
WHERE put_iv > 0 AND call_iv > 0

Across 348 underlyings wey get active chains for both sides, 70.4% dey price dia downside puts above dia upside calls, with median gap of 2.2 volatility points. Di put smirk na di market default posture — and di exceptions na where di information dey.

Di inverted tail: names where di upside cost pass

SELECT underlying_symbol AS ticker,
       round(100 * call_iv, 1) AS otm_call_iv_pct,
       round(100 * put_iv, 1) AS otm_put_iv_pct,
       round(100 * (call_iv - put_iv), 1) AS call_over_put_points
FROM (
    SELECT underlying_symbol,
           medianIf(implied_volatility, option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) AS put_iv,
           medianIf(implied_volatility, option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) AS call_iv
    FROM global_markets.options_greeks
    WHERE date = toDate('2026-07-15') AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND expiration_date BETWEEN date + 20 AND date + 60
      AND underlying_symbol NOT IN ('KORU','SOXL','SOXS','TQQQ','SQQQ','NVDL','NVDS','NVD','TSLL','TSLQ','TSLZ','SPXL','SPXS','UPRO','SPXU','LABU','LABD','FAS','FAZ','TNA','TZA','YINN','YANG','UDOW','SDOW','BOIL','KOLD','UCO','SCO','USD','SSO','SDS','QLD','QID','ERX','ERY','DRN','DRV','CURE','SOXY','MUU','SNXX','UVXY','SVXY','UVIX','SVIX','BULZ','WEBL','WEBS','DPST','DRIP','GUSH','AGQ','ZSL','BITX','ETHU','MSTX','MSTU','CONL','DUST','JNUG','JDST','NUGT','AMDL','NUAI','VXX','VIXY')
    GROUP BY underlying_symbol
    HAVING countIf(option_type = 'P' AND strike_price / underlying_close BETWEEN 0.85 AND 0.95) >= 5
       AND countIf(option_type = 'C' AND strike_price / underlying_close BETWEEN 1.05 AND 1.15) >= 5
       AND sum(volume) >= 2000
)
WHERE put_iv > 0 AND call_iv > 0 AND call_iv > put_iv
ORDER BY call_over_put_points DESC
LIMIT 8

Roughly three names for every ten dey run di other way, and di steepest cases dey dramatic: ASTS dey price im out-of-the-money calls for 169.2% against 69.9% for im puts — 99.3 points of extra volatility for di upside. One inverted skew na di option market dey price di big move UP as di tail risk: squeeze candidates, binary-catalyst names, and stocks where di feared scenario na to dey left behind, no be crash. Leveraged funds and volatility ETPs no dey for dis board — dia skew na structural, no be informational.

Wetin di skew mean for one trade

Di skew na relative price, and e dey move di economics of every multi-leg structure. One protective put buyer dey pay di smirk directly — downside strikes na di expensive end. One collar dey harvest am: di put wey you buy dey rich, but di call wey you sell against am still dey priced off di same curve, and for inverted-skew names dat call sale dey fund far more of di hedge. Di implied volatility number wey dem quote for one stock na really whole curve of numbers, and which point of di curve your strike dey sit na part of di price wey you dey pay.

FAQ

Wetin be volatility skew for simple terms?

Different strikes for di same stock and expiration dey trade for different implied volatilities. For most names, strikes below di market price dey carry higher IV pass strikes above am — downside protection cost pass per unit of volatility pass upside exposure.

Why puts usually get higher implied volatility pass calls?

Demand and history: portfolio hedgers dey persistently buy downside puts, sellers dey demand compensation for crash risk, and markets dey fall faster pass how dem dey rise. Di pattern don hold since October 1987 repriced wetin one-day crash fit look like.

Wetin inverted skew mean?

Calls dey price above puts — di market dey treat di large UP move as di tail scenario. For dis page measurement date, roughly three for every ten active underlyings dey run inverted, dem dey cluster for squeeze candidates and binary-catalyst names.

Volatility skew and volatility smile na di same thing?

Same family. "Smile" dey describe both wings wey dey rise above di at-the-money level; "skew" or "smirk" dey describe di asymmetric version where one wing — almost always di put side — dey higher. Equity indexes typically dey show smirk, as SPY curve above dey show.

Every number above na stored, versioned query over di full options tape — expand any panel to audit am, or measure di skew for any underlying from di Strasmore terminal. For where volatility itself dey highest right now, see di high-IV board; for wetin dey happen to dis prices after one event, see IV crush.