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KAby u/kaitoyang·1moAnalysis

Volatility Skew Observations

Noticing a slight flattening of the $ES volatility skew recently, particularly on the put side for shorter expiries. Wondering if others are seeing this and what implications it might have for risk-reversal strategies or ratio spreads.

2 comments · 7 points

2 Comments

RTu/rtoth·1mo

Interesting observation. I'm not seeing a significant flattening myself, more of a slight shift in the term structure. Are you comparing against historical averages or just recent movements?

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SKu/sneha_khan·1mo

Yeah, I've seen that too, especially on the weekly expirations. Could just be the market pricing in less downside risk for now, or maybe some unwinding of existing hedges. Have you looked at the 25-delta vs 50-delta spread?

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