Drawing the volatility skew

Discussion in 'Options' started by KohPhiPhi, Aug 30, 2022.

  1. Thanks to you, in part - I think Matt owes you a finder's fee. :) I remember you mentioning them WRT looking at skew, and that's exactly what I'm wrestling with now. Gotta say, these guys make it a lot easier than doing it by hand!
     
    #11     Aug 31, 2022
  2. Matt_ORATS

    Matt_ORATS Sponsor

    We measure how wide the bidIV - askIV is for every option and weight higher closer to ATM.
    [​IMG]

    It is helpful to judge liquidity. The last row above notice how the Oct 7 expiry is the widest 0.4% while the Oct 21 monthly expiry is tightest.
    We also have two constant maturity mwVols at 30 days and 2 years.
    [​IMG]
    In the TradeBuilder tab you can graph the mwAdj30 (nice name I know) and see it is about 0.02%
    The mwVol is also useful to observing market maker duress and is a good signal that the market is weakening.
     
    #12     Aug 31, 2022