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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What is the option surface doing right now?
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Signal 1 · How much more is the market charging for downside than for upside?
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 tradingIs the put bid at the front of the curve or the back? — skew across the listed book, every SPX expiry, today
one point per expiry— drag to resize —
Are the tails being bid while the index sits at its highs? — the divergence, wing demand against where the index is trading
premise-first: the deviation is the signal— drag to resize —
How much of the put bid is NOT explained by where the market is trading? — the regression residual
the sharper instrument— drag to resize —
How has the skew shape moved since this app started measuring it? — the own forward record
one point per session, from today— drag to resize —
Signal 2 · What is the market paying for the tails on their own?
the convexity premium — a CBOE index (every out-of-the-money strike) minus the plain at-the-money implied, at every tenor CBOE publishes an index forAre the tails dear at every horizon, or only one? — convexity premium across the curve, index against at-the-money, four tenors
cross-section, today— drag to resize —
How bid are the wings versus the last three decades? — wing demand over time, deep proxies with this app's own premium overlaid
deep proxy + own record— drag to resize —
Which measures are unusual today, and which are ordinary?
every deep metric against its own history, on one shared colour ramp — the companion to the line charts aboveWhich measures are running hot or cold against their own past? — surface tape, every deep metric over time
rows × time— drag to resize —