glossary

at-the-money (atm)

An option whose strike price is equal (or very close) to the current price of the underlying. ATM options have a delta near 0.50 and serve as the baseline reference point for measuring skew and term structure.

atm straddle iv

The implied volatility derived from the at-the-money straddle (ATM call plus ATM put). It represents the market's expected move for that expiration without directional skew.

atm vol normalization

The process of dividing implied volatility at various delta levels by the 0.50-delta (ATM) IV (delta_iv / atm_iv). This removes flat baseline volatility shifts to isolate smile curvature and skew changes.

dealer

Refers to market makers and liquidity providers who post quotes (passive limit orders). In skewbot, dealer metrics reflect the pricing, skew, and inventory risk parameters of liquidity providers.

delta

A measure of how much an option's price changes for a $1 move in the underlying asset. In skewbot, delta serves as a normalized coordinate across the volatility surface (from the 0.10 put wing to the 0.90 call wing).

dte (days to expiration)

The number of calendar days until an option contract expires. 0DTE options expire on the current trading day.

fixed delta vol (fdv)

Implied volatility measured at constant delta coordinates rather than fixed strike prices. Because delta shifts dynamically with spot price, FDV tracks consistent positions on the smile as the underlying moves.

flex

A normalized measure of smile curvature and wing expansion over time. Flex isolates smile bending from flat baseline volatility shifts.

gamma exposure (gex)

The estimated net gamma positioning held by market makers across the options chain. Positive GEX indicates dealers are net long gamma (dampening market volatility); negative GEX indicates dealers are net short gamma (amplifying market moves).

implied volatility (iv)

The market's expectation of future price volatility, derived by inverting an options pricing model given current market quotes. Expressed as an annualized percentage.

liquidity score

A composite metric measuring option order book quality:

liquidity_score = relative_spread_pct / (sqrt(avg_size) + ε)

Higher scores indicate wider spreads and thinner book depth (liquidity stress).

paper

Refers to market participants who execute aggressive orders crossing the bid-ask spread. In skewbot, paper metrics reflect aggressive transaction demand and client positioning.

shear

A normalized measure of smile roughness, paying special attention to dislocations from theoretically ideal prices. It is calibrated to prioritize acute dislocations.

skew

The asymmetry in implied volatility across strikes. Negative skew (standard in equity index options) means put volatility exceeds call volatility due to downside hedging demand.

smile

The curve formed by plotting implied volatility across option strikes or deltas.

spot

The current real-time market price of the underlying asset.

term structure

The relationship between at-the-money implied volatility and time to expiration. Normal (contango) structures price higher volatility into longer horizons; inverted (backwardated) structures reflect acute near-term stress.

tilt

skewbot's normalized measure of the steepness of the volatility curve. High tilts indicate that volatility becomes more expensive at higher strikes; low tilts indicate that volatility cheapens at higher strikes.

volatility surface

The complete three-dimensional manifold of implied volatility across all strikes and expirations for a given asset.

wing

The far out-of-the-money sections of the option smile — deep puts on the downside and deep calls on the upside.