Message

RiskReversalSkew

RiskReversalSkew captures the volatility skew between puts and calls at a given delta for a single expiry for a given ticker. NOTE: The ticker is not part of the message. The ticker is the key of the kafka msg.

fields4 topicrisk-reversal-skew

▶Proto definition.proto

message RiskReversalSkew {
  uint32 date = 1;
  uint32 expiry = 2;
  double skew = 3;
  uint32 delta = 4;
}

Fields

date uint32 1

The trading date as days since 1970-01-01

expiry uint32 2

The expiry of the chain as days since 1970-01-01

skew double 3

The put implied volatility minus the call implied volatility at the given delta. A positive value means puts are more expensive than calls

delta uint32 4

The delta bucket as a whole number out of 100. 25 means the 0.25 delta and 10 means the 0.10 delta.