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could you tell me what it means for skew to be "negative"? i see the chart below zero, but i'm not sure what's being subtracted from what there.
amazing info as always ... thanks!
Thanks James. Yes, the Skew value is CALL IV minus PUT IV... so when skew is negative, puts are more expensive than calls, for options in the (.20 to .30) delta ranges
got it ... thanks!
could you tell me what it means for skew to be "negative"? i see the chart below zero, but i'm not sure what's being subtracted from what there.
amazing info as always ... thanks!
Thanks James. Yes, the Skew value is CALL IV minus PUT IV... so when skew is negative, puts are more expensive than calls, for options in the (.20 to .30) delta ranges
got it ... thanks!