Skew

Skew Structure

Skew Indicator: Plots customizable skew indicators: the difference (“risk reversal”) or the average (“butterfly”) in implied volatility between a call and a put.

“Risk Reversal” indicator is the difference in implied volatility between a call and a put when one is being bought and the other is being sold. The implied volatility of the instrument being sold is subtracted from the implied volatility of the instrument being bought. Can also normalize the indicator by the ATM implied volatility.

“Butterfly” indicator is the average implied volatility of a call and a put when they are both being bought (positive) or both being sold (negative). Can also subtract the ATM implied volatility from the indicator.

Currency put: Select crypto currency for the put.

Currency call: Select crypto currency for the call.

Change in Moneyness (%) for Put: Change (negative) in strike price for the put as a percentage of spot price (i.e. current value of the underlier).

Change in Moneyness (%) for Call: Change (positive) in strike price for the call relative to spot/ATM strike (i.e. current value of the underlier).

Dir. put: Select buy or sell.

Dir. call: Select buy or sell.

Texp: Select time to expiration (in days).

Subtract ATM IV: Only when direction is the same for put and call. If "True" is selected, the at-the-money (ATM) implied volatility is subtracted from the butterfly indicator.

Normalize by ATM IV: Only when the direction is different for put and call. If "True" is selected, the risk reversal indicator is normalized by the at-the-money (ATM) implied volatility.

Show as distrib.: If "True" is selected, the distribution over the selected time period is displayed as a box plot showing the minimum, the maximum, the sample median, and the first and third quartiles (as well as upper and lower fences for outliers).

Add Skew Indic.: Add to plot multiple indicators.

Skew It

Scatter plot of the implied volatility of a call against that of a put for selected moneyness variation from at-the-money (ATM). Each plot corresponds to a specific date during the selected time period. Green diamond marker shows today’s plot.

Currency: Select crypto currency for the call and the put.

Moneyness (% change): Change in strike price (negative for the put and positive for the call) as a percentage relative to spot/ATM strike (i.e. the current value of the underlier).

Texp: Select time to expiration (in days).

Select quantile: Shows the top and bottom observations that fall above or below the selected quantile. For example, if 5% is selected, the scatter plot shows in green/blue observations that have a ratio of put to call implied volatility that is greater/lower than 95% of observations.

Hovering the mouse cursor over a specific observation reveals associated data points (date, implied volatility for the call, implied volatility for the put).

Thresh IV. Select a threshold for implied volatility to exclude tail observations. For example, selecting a threshold of 100% excludes any observation with implied volatility in excess of 100%.

Option. Select a specific option trading strategy in order to display the associated PnL for each observation in a scatter plot. For example, selecting “Risk Reversal Long” shows for each observation (specific date) the PnL associated with buying the call and selling the put. PnL is shown via a color scheme. Again, hovering the mouse cursor over a specific observation reveals associated data points (date, implied volatility for the call, implied volatility for the put, PnL), this time including the PnL associated with the selected strategy.

Entry indicator. Click on “Lasso Select” at the top to then select a specific subset of observation.

Click “Add Entry” to add selected observations to define customized trading rules (see “Entry indicator” defined for the risk reversal).