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 are the reference point for measuring skew and term structure.

Convexity

The curvature of the volatility smile. A highly convex smile rises steeply in the wings (far from ATM). High convexity indicates the market is paying for tail outcomes; low convexity indicates the market sees a more contained range.

Dealer

Refers to market makers — participants who provide liquidity by quoting both sides of the market. Dealers are typically short premium (net option sellers) and dynamically hedge their delta exposure. In Skewbot, dealer metrics reflect how market makers are positioned and priced.

Delta

A measure of how much an option's price changes for a $1 move in the underlying. Calls have positive delta (0 to 1); puts have negative delta (-1 to 0). In Skewbot, delta is used as a coordinate on the volatility surface — the "25 delta put" refers to the put option with delta of 0.25, wherever on the strike ladder that falls.

DTE (Days to Expiration)

The number of calendar days until an option contract expires. 0DTE options expire on the current trading day. Shorter DTE options are more sensitive to same-day moves; longer DTE options reflect expectations over a broader horizon.

Fixed Delta Vol (FDV)

Implied volatility measured at a constant delta level rather than a constant strike. Because delta is relative to spot, FDV tracks a consistent position on the smile as the underlying moves, making it more useful for trend analysis than tracking a fixed strike.

Gamma Exposure (GEX)

The estimated net gamma held by market makers across the options surface. Positive GEX means dealers are net long gamma; negative GEX means net short. When dealers are short gamma, they amplify moves by buying on rallies and selling on declines to stay delta-neutral.

Implied Volatility (IV)

The market's expectation of future price volatility, derived by inverting the options pricing model given the current market price of an option. Higher IV means options are more expensive; lower IV means cheaper. IV is expressed as an annualized percentage.

Paper

Refers to non-dealer participants — institutional investors, hedge funds, retail traders — who are net buyers of premium. Paper flow is the demand side of the options market. In Skewbot, paper metrics reflect how clients are positioning.

Skew

The asymmetry in implied volatility across strikes. Negative skew (the most common shape in equity markets) means put vol is higher than call vol, reflecting demand for downside protection. Skewbot measures skew via the Tilt view.

Smile

The shape of implied volatility plotted across strikes. In a "normal" equity market, vol smiles — rising on both sides as you move away from ATM. The shape of the smile (its tilt, curvature, and level) encodes the market's view of the distribution of future returns.

Spot

The current market price of the underlying asset.

Term Structure

The relationship between implied volatility and time to expiration. A normal (contango) term structure has lower near-term vol and higher longer-dated vol. An inverted (backwardated) structure — where near-term vol exceeds long-dated vol — indicates short-term stress or a concentrated near-term event.

Tilt

Skewbot's measure of put-vs-call skew, expressed as a scalar. Positive tilt means put vol is elevated relative to call vol. Negative tilt means call vol is leading. Tracked separately for dealer and paper flow.

Volatility Surface

The full three-dimensional representation of implied volatility across all strikes and expirations for a given underlying. Skewbot provides views into different cross-sections of this surface: across deltas (FDV), across strikes (Curve), and across expirations (Term Structure).

Wing

The far out-of-the-money portion of the options smile — deep puts on the left, deep calls on the right. Wing vol reflects the market's pricing of tail events.