Surface — skew term structure and the convexity premium
Two shape reads on the S&P 500 option surface. Signal 1 measures how much more the market pays for downside than upside — the skew — at a constant three-month tenor, and looks for the case Imran Lakha singles out: skew bid for puts while the index sits at its highs. Signal 2 measures how much the CBOE volatility index exceeds the plain at-the-money implied at the same tenor, which is the price the market is putting on the wings of the distribution. Both are conditioning variables: they describe the state of the surface and who is carrying risk in it. Neither is an entry trigger, and nothing on this page names a side.
How to use this page — what it answers, how to read the headline numbers, and what would change the read
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Where we are now
Signal 1 · Skew term structure, pinned at three months
the 25-delta risk reversal across every listed expiry, and the divergence between it and where the index is tradingSkew across the listed book — every SPX expiry, today
one point per expiry— drag to resize —
The divergence — how bid the wings are, against where the index is trading
premise-first: the deviation is the signal— drag to resize —
Regression residual — the part of skew the level of the market cannot explain
the sharper instrument— drag to resize —
Skew term structure over time — this app's own forward record
one point per session, from today— drag to resize —
Signal 2 · The convexity premium — CBOE index minus at-the-money implied
what the market pays for the wings, at every tenor CBOE publishes an index forConvexity premium across the curve — index against at-the-money, four tenors
cross-section, today— drag to resize —
Wing demand over time — the deep proxies, with this app's own premium overlaid
deep proxy + own record— drag to resize —
All of it at a glance
every deep metric against its own history, on one shared colour ramp — the companion to the line charts aboveSurface tape — every deep metric against its own history, over time
rows × time— drag to resize —