25 Delta Skew Normalized (1 Month)

Definition. 25 Delta Skew Normalized (1 Month) is the relative richness of put versus call implied volatility on options expiring in roughly one month, computed as the difference between a 25-delta put's implied volatility and a 25-delta call's implied volatility, normalized by the at-the-money implied volatility.\n\nTechnical. A 25-delta put has a delta of -25, sampling the option surface at symmetric points either side of the money to expose the put-versus-call asymmetry in implied volatility.\n\nInterpretation. Positive readings mean puts are richer than equivalent-delta calls, negative readings mean calls are richer than puts.\n

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