Options Skew Radar
How expensively the market prices protection — 25Δ put IV vs. 25Δ call IV per ticker, plus a Vol Quadrant showing IV percentile and risk-reversal percentile relative to each ticker’s own history. Updated daily.
Risk-Reversal Percentile × IV Percentile, per ticker relative to its own history · crosshair = 50%
When indices (SPY/QQQ) and the single names sit in different fields, the market disagrees with itself: index options are pricing something other than the constituents. That is classic dispersion — and it lines up with a low implied correlation in the KPIs above. A tight cluster means the opposite: names moving together, high correlation. Purely a description of how options are priced, not a signal.
The CBOE SKEW Index measures how expensively the broad market prices tail risk in OTM S&P puts (higher = more crash hedging), the VIX the expected 30-day move.
Walls = net-gamma references, not guaranteed barriers. In brackets the change versus the previous session (green higher, red lower); after an expiration day walls often shift mechanically because contracts expire. Not a trading signal.
Frequently Asked Questions
What is options skew?
Skew measures how differently the market prices puts and calls. We compare the implied volatility (IV) of a 25-delta put with that of a 25-delta call (each around 30 days to expiry). If put IV is higher, investors pay a premium for downside protection (put skew, typical for equity indices). If call IV is higher, upside speculation is priced more expensively (call skew, common in single stocks during rallies).
What does the Vol Quadrant show?
The Vol Quadrant places each ticker in two dimensions, each as a percentile relative to its own history over the past year: the Y axis is the IV percentile (how expensive is volatility right now versus its own past) and the X axis is the risk-reversal percentile (how strongly are calls priced relative to puts). The crosshair at 50 percent splits the plane into four fields, each mapped to a typical options structure: the top is expensive vol (sell premium), the bottom is cheap (buy); the side follows the skew.
What is the IV percentile?
The IV percentile states on what share of days over the past year a ticker’s implied volatility was lower than today. 80 percent means options are currently more expensive than on 80 percent of those days. If the history is younger than one year, all available days count, at least 20. We use the percentile instead of IV rank (position between the yearly low and high) because a single outlier shifts the rank for a whole year.
How reliable is the expected move?
The expected move is the arithmetic 1-sigma move to the 30-day expiry, derived from at-the-money volatility. Under a normal distribution a 1-sigma band should hold in 68.3 percent of cases — measured on the S&P 500 from 1990 to 2026 it held in 84.3 percent (95 percent interval 82.2 to 86.3). The band is therefore systematically too wide, because implied volatility sits on average above subsequently realised volatility. In practice the actual move stays inside the band more often than the label suggests. The excess is largest at the money and shrinks towards the tails — at 2 sigma only 3.4 percentage points remain.
Is skew a trading signal?
No. This page shows backward-looking options context, not a forecast and not investment advice. The strategy labels in the quadrants are pure structural examples of how expensive or cheap vol is typically traded — not a recommendation for any specific trade. Options are leveraged instruments with a risk of total loss.