shear
A normalized measure of smile roughness, calibrated for acute dislocations from uniform prices.
what it shows
shear is a normalized measure of smile roughness, paying special attention to dislocations from theoretically uniform prices. It isolates acute pricing kinks and localized distortions across individual strikes.
Shear is primarily a high frequency orderflow metric, so it is provided for the nearest expiration only.
surface roughness & asymmetry
skewbot tracks shear independently across both wings and the joined surface:
| Metric | Surface Region | Market Meaning |
|---|---|---|
| upside shear | OTM call wing | Peak pricing dislocations across upside strikes |
| downside shear | OTM put wing | Peak pricing dislocations across downside strikes |
| full shear | Full joined surface | Maximum acute dislocation across the entire curve |
- elevated upside shear: Out-of-the-money call strikes exhibit localized pricing kinks or quote imbalances.
- elevated downside shear: Out-of-the-money put strikes depart sharply from baseline fair pricing.
- elevated full shear: Severe pricing dislocation detected at one or more isolated strikes across the curve.
dealer vs. paper shear
- dealer shear: Reflects quoted prices.
- paper shear: Reflects transacted prices.
Divergence between dealer and paper shear indicates that transacted prices show different dislocations than quoted prices.
reading the chart
The chart renders active Shear series as thin lines.
- Upside Shear Line: Spikes when acute dislocations occur along call strikes.
- Downside Shear Line: Spikes when acute dislocations occur along put strikes.
- Full Shear Line: Overlays the maximum acute dislocation across the joined surface.
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. Better for low-strike-density assets.
- shear (acute dislocations): Specifically calibrated to isolate acute, localized dislocations and strike-level roughness. Better for high-strike density assets.
| 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: shear controls →