I have a question - It seems possible to create a situation where skew gamma for a contract is negative. Skew gamma (gamma, with vol taken into account) Scenario - Extremely steep call/put curvature - At the steepest point on the put curve, vol will be changing at a great rate with respect to price change. Because of this, a call with strike @ this point will have a skew gamma that may be negative. The reason is due to changes in vol outweighing any change in underlying price. IE, the price of underlying ticks up, vol decreases and skew delta also decreases (because of -ve skew gamma). The result: An upward move in the underlying, will cause the delta of a call to fall. This is possible to create, but how realistic is it? Should this be possible? Thoughts?