Market & liquidity Lab 06

Options Skew

How steep are the put and call wings, and does their term structure indicate elevated tail-hedging demand?

Saved example run

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.

Captured options skew by expiry
ExpiryPut IVCall IVRisk reversal
2026-08-2127.3%19.9%-7.4%
2026-09-1829.4%18.8%-10.6%
2026-10-1632.9%19.8%-13.1%

The paper trail

Inspect. Reproduce. Extend.

Run this command from the finance-labs repository root to reproduce the bundled example.

Exact command
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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