How to quantify skew delta

Adam777 · Jul 16, 2024

Matt_ORATS said:
ORATS can chart various skew indicators and ratios of those indicators. These can also be used in a scanner to identify those stocks, ETFs or indexes that match the criteria. For example, the bottom chart is the 25 delta ATM 20 days to expiration over the 75 delta. There are thousands of possible ratios you can chart:

https://gyazo.com/ce751f2f25a1080fdbf1c6e3af200eca

Here is the Stock Scanner sorting on that 25/75 delta ratio ascending.

https://gyazo.com/49b5a3e3f15cad43f4cbf22ec159282d

You can also tie the stock scanner into the options scanner to find the best options trades for these symbols.

https://gyazo.com/ed01f50b80edbce3d031410c21d19092
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Great! So I can do the normalised risk reversal which is (25D Put.IV-25D Call.IV )/ATM.IV ... this is the one they use in LiveVol

Matt_ORATS · Jul 16, 2024

Close: 25D Put.IV/25D Call.IV

Adam777 said:
Great! So I can do the normalised risk reversal which is (25D Put.IV-25D Call.IV )/ATM.IV ... this is the one they use in LiveVol
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How to quantify skew delta

Adam777

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