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flex
A normalized measure of smile curvature.
what it shows
flex measures smile curvature and wing expansion over time. It captures how much out-of-the-money wings bow upward relative to at-the-money levels.
Because flex isolates smile curvature from baseline volatility shifts, it allows direct comparison across tickers and trading sessions.
wing curvature & asymmetry
skewbot tracks smile curvature independently across both wings and the joined surface:
| Metric | Surface Region | Market Meaning |
|---|---|---|
| call flex | OTM call wing | Upside curvature and call wing expansion |
| put flex | OTM put wing | Downside curvature and put wing expansion |
| full flex | Full joined surface | Total smile curvature across both wings |
- elevated call flex: Upside tail options reprice higher relative to ATM levels (upside convexity demand).
- elevated put flex: Downside tail protection reprices higher relative to ATM levels (crash protection hedging).
- symmetric flex: Both wings elevate equally, indicating broad demand for non-linear convexity.
dealer vs. paper flex
- dealer flex: Reflects quoted prices.
- paper flex: Reflects transacted prices.
Divergence between dealer and paper flex indicates that transacted prices price wings differently than quoted prices.
reading the chart
The chart renders each active Flex series as a translucent area. Fills stop at a fixed baseline of 1.0.
- Call Flex Area: Extends upward when call wing curvature expands.
- Put Flex Area: Extends upward when put wing curvature expands.
- Full Flex Line: Overlays total structural smile curvature across both wings.
flex vs. shear: global regime vs. localized dislocations
flex and shear are closely related measures of non-linear surface shape:
- flex (global regime): Measures cumulative smile curvature across the entire curve. It captures broad structural regime shifts rather than single-strike noise.
- shear (acute dislocations): Specifically calibrated to isolate acute, localized dislocations and strike-level roughness.
| Surface State | flex (global curvature) | shear (localized roughness) | Observable Surface Shape |
|---|---|---|---|
| wide & smooth | high | low | Pronounced smile curvature with smooth, continuous pricing across strikes. |
| flat & dislocated | low | high | Flat overall curve, but with an acute dislocation or kink at a specific strike. |
| stressed & dislocated | high | high | Broad wing expansion combined with acute localized pricing dislocations. |
| quiescent & linear | low | low | Flat, smooth surface with minimal curvature and zero localized roughness. |
See also: flex controls →