Volatility Skew Analyzer

Reproduce the strike and delta calculations

Load the worked IV example and confirm its assumptions. It uses a hypothetical $100 spot and a single expiration. The entered put quotes are K=90, IV=32%, delta=-0.20 and K=95, IV=28%, delta=-0.30. Calls are K=105, IV=24%, delta=+0.30 and K=110, IV=22%, delta=+0.20. These are illustrative quote fields, not observed market data or a calibrated model.

• Strike slope = (IV at highest strike − IV at lowest strike) / strike range = (22 − 32) / (110 − 90) = -0.500 IV percentage points per $1. This endpoint secant uses only the two extreme strikes, not a regression through the middle points.
• Normalized slope = -0.500 × (0.10 × 100) = -5.000 IV points per strike increase equal to 10% of spot. It is a rescaled slope, not a predicted IV change.
• At absolute delta 0.25, linear interpolation gives put IV = 32 + (28 − 32) × (0.25 − 0.20) / (0.30 − 0.20) = 30%. Call IV = 22 + (24 − 22) × 0.5 = 23%. Risk reversal = 23 − 30 = -7.000 IV points.
• Per +0.10 absolute delta, the put wing slope is -4.000 IV points and the call wing slope is +2.000. Both slopes move toward larger absolute delta; their sign is not the sign of the strike slope.

A fall from 32% IV to 22% IV is 10 percentage points, not a 10% relative fall. Raw strike slopes depend on price units, so comparing a $100 stock with a $1,000 stock requires a normalized coordinate. Equal delta is also model-dependent; it does not guarantee equal economic risk.

When the comparison fails

Different expirations mix the term structure with the strike cross-section. Different quote times can turn an underlying move into apparent skew. Match the underlying contract, currency, expiration and time zone, exercise style, settlement, multiplier and corporate-action adjustments. Use a consistent bid, ask or midpoint convention and inspect wide spreads and stale quotes before interpreting a slope.

At target delta 0.10, this example returns no risk reversal because neither wing brackets that delta. Blank IV, blank premium and non-finite input are errors, not zeros. A missing delta leaves that row available on the strike chart only. Duplicate strikes disable the endpoint slope; duplicate deltas disable that wing rather than silently choosing a quote.

Premium inversion assumes European exercise, continuous rates and dividend yield, and a positive time to expiry. The option premium must lie strictly between the discounted no-arbitrage bounds. The solver searches up to 500% annual IV and checks the repriced residual; an unsupported price or failed search displays an explanation. American early exercise, discrete dividends and futures options need a suitable pricing model.

Skew summarizes relative implied volatilities. It does not prove an option is cheap, reveal a physical probability, or establish a profitable spread. Interpolation is an estimate between observations, especially uncertain when quotes are sparse. This calculator is educational and is not investment advice.

Check the chain before using the result

When reviewing contracts from TradingView or another terminal, copy exact contract identifiers, expiration, timestamps, IV units and the delta convention. If the display lacks a field, leave it missing here or obtain it from the same provider. Use the volatility smile tool to inspect curve shape and quote quality, or the single-option IV calculator for a separate premium scenario.

Pineify's AI Stocks & Options Picker provides a next step for researching candidates and inspecting options data. Check the fields actually returned for the selected contract; a missing Greek is not evidence of zero exposure. This manual analyzer does not import a live chain or backtest a risk-reversal trade.

Sources and conventions

CME Group: introduction to skew describes equal-delta comparisons and how a two-point risk reversal differs from whole-curve measures. CME Group's skew example uses a call-minus-put volatility spread. This page explicitly uses that sign; other displays may reverse it. Formula examples above are our own hypothetical calculations. Sources checked October 18, 2026.

OIC: Black-Scholes Formula explains pricing inputs and the early-exercise limitation. TradingView: options chain overview documents the expiration, price, IV and Greek fields to check before copying a contract.

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