Market & liquidity Lab 06
Options Skew
How steep are the put and call wings, and does their term structure indicate elevated tail-hedging demand?
Generated using bundled data. These values illustrate the diagnostic and are not current market observations.
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Volatility by expiry
SPY options skew: ELEVATED — SPY options skew is elevated: left-tail hedge demand, with implied volatility rising across expiries.
IV means implied volatility. The risk reversal compares the call and put wings; a negative reading means the put wing has higher implied volatility.
| Expiry | Put IV | Call IV | Risk reversal |
|---|---|---|---|
| 2026-08-21 | 27.3% | 19.9% | -7.4% |
| 2026-09-18 | 29.4% | 18.8% | -10.6% |
| 2026-10-16 | 32.9% | 19.8% | -13.1% |
The paper trail
Inspect. Reproduce. Extend.
Run this command from the finance-labs repository root to reproduce the bundled example.
PYTHONPATH=labs/options-skew/src python3 -m options_skew_sentinel analyze labs/options-skew/examples/spy_option_chain_sample.csv
View original captured output
SPY options skew: ELEVATED — SPY options skew is elevated: left-tail hedge demand, with implied volatility rising across expiries.
2026-08-21: put IV 27.3%, call IV 19.9%, Risk reversal -7.4%
2026-09-18: put IV 29.4%, call IV 18.8%, Risk reversal -10.6%
2026-10-16: put IV 32.9%, call IV 19.8%, Risk reversal -13.1%
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