Skew, Constant Maturity, Constant Delta

Overview

Option skew (often visualized as the volatility smile) refers to the difference in implied volatility between options that have the same expiration date and absolute delta but different strikes. It is a primary indicator of market sentiment, reflecting the premium traders are willing to pay for upside speculation versus downside protection.

We provide continuous, constant-maturity skew metrics derived using the risk reversal methodology. Our skew metrics are calculated as the spread between the implied volatility (IV) of a call option and the IV of a put option at the same absolute delta and expiration. These metrics are available for exchange-pairs.

Because we define skew as call minus put, the sign of the metric indicates the directional bias of the market:

• Positive skew (> 0): Bullish sentiment. Call options are more expensive than put options. This indicates the market is pricing in a higher probability of an upward move or is willing to pay a premium for leveraged upside exposure.

• Negative skew (< 0): Bearish sentiment. Put options are more expensive than call options. This is indicates the market is pricing in "crash risk" or paying a premium for downside protection.

• Zero skew (~ 0): Neutral sentiment. The market perceives the probability of upside and downside volatility to be roughly equal.

Metrics

There are 130 skew metrics across various combinations of delta and tenor. The metrics follow the naming convention: volatility_implied_skew_delta_[delta]_[tenor]_expiration

The following dimensions and their values are:

• [delta]: 05, 10, 15, 20, 25, 30, 35, 40, 45, 50

• [tenor]: 1d, 2d, 3d, 7d, 14d, 21d, 30d, 60d, 90d, 120d, 180d, 270d, 1y

Metric	Description	Frequency	Coverage
volatility_implied_skew_delta_05_1d_expiration	The skew derived from a call and put option with 5 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_2d_expiration	The skew derived from a call and put option with 5 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_3d_expiration	The skew derived from a call and put option with 5 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_7d_expiration	The skew derived from a call and put option with 5 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_14d_expiration	The skew derived from a call and put option with 5 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_21d_expiration	The skew derived from a call and put option with 5 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_30d_expiration	The skew derived from a call and put option with 5 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_60d_expiration	The skew derived from a call and put option with 5 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_90d_expiration	The skew derived from a call and put option with 5 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_120d_expiration	The skew derived from a call and put option with 5 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_180d_expiration	The skew derived from a call and put option with 5 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_270d_expiration	The skew derived from a call and put option with 5 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_05_1y_expiration	The skew derived from a call and put option with 5 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_1d_expiration	The skew derived from a call and put option with 10 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_2d_expiration	The skew derived from a call and put option with 10 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_3d_expiration	The skew derived from a call and put option with 10 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_7d_expiration	The skew derived from a call and put option with 10 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_14d_expiration	The skew derived from a call and put option with 10 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_21d_expiration	The skew derived from a call and put option with 10 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_30d_expiration	The skew derived from a call and put option with 10 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_60d_expiration	The skew derived from a call and put option with 10 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_90d_expiration	The skew derived from a call and put option with 10 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_120d_expiration	The skew derived from a call and put option with 10 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_180d_expiration	The skew derived from a call and put option with 10 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_270d_expiration	The skew derived from a call and put option with 10 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_10_1y_expiration	The skew derived from a call and put option with 10 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_1d_expiration	The skew derived from a call and put option with 15 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_2d_expiration	The skew derived from a call and put option with 15 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_3d_expiration	The skew derived from a call and put option with 15 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_7d_expiration	The skew derived from a call and put option with 15 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_14d_expiration	The skew derived from a call and put option with 15 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_21d_expiration	The skew derived from a call and put option with 15 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_30d_expiration	The skew derived from a call and put option with 15 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_60d_expiration	The skew derived from a call and put option with 15 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_90d_expiration	The skew derived from a call and put option with 15 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_120d_expiration	The skew derived from a call and put option with 15 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_180d_expiration	The skew derived from a call and put option with 15 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_270d_expiration	The skew derived from a call and put option with 15 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_15_1y_expiration	The skew derived from a call and put option with 15 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_1d_expiration	The skew derived from a call and put option with 20 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_2d_expiration	The skew derived from a call and put option with 20 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_3d_expiration	The skew derived from a call and put option with 20 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_7d_expiration	The skew derived from a call and put option with 20 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_14d_expiration	The skew derived from a call and put option with 20 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_21d_expiration	The skew derived from a call and put option with 20 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_30d_expiration	The skew derived from a call and put option with 20 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_60d_expiration	The skew derived from a call and put option with 20 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_90d_expiration	The skew derived from a call and put option with 20 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_120d_expiration	The skew derived from a call and put option with 20 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_180d_expiration	The skew derived from a call and put option with 20 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_270d_expiration	The skew derived from a call and put option with 20 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_20_1y_expiration	The skew derived from a call and put option with 20 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_1d_expiration	The skew derived from a call and put option with 25 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_2d_expiration	The skew derived from a call and put option with 25 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_3d_expiration	The skew derived from a call and put option with 25 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_7d_expiration	The skew derived from a call and put option with 25 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_14d_expiration	The skew derived from a call and put option with 25 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_21d_expiration	The skew derived from a call and put option with 25 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_30d_expiration	The skew derived from a call and put option with 25 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_60d_expiration	The skew derived from a call and put option with 25 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_90d_expiration	The skew derived from a call and put option with 25 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_120d_expiration	The skew derived from a call and put option with 25 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_180d_expiration	The skew derived from a call and put option with 25 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_270d_expiration	The skew derived from a call and put option with 25 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_25_1y_expiration	The skew derived from a call and put option with 25 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_1d_expiration	The skew derived from a call and put option with 30 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_2d_expiration	The skew derived from a call and put option with 30 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_3d_expiration	The skew derived from a call and put option with 30 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_7d_expiration	The skew derived from a call and put option with 30 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_14d_expiration	The skew derived from a call and put option with 30 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_21d_expiration	The skew derived from a call and put option with 30 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_30d_expiration	The skew derived from a call and put option with 30 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_60d_expiration	The skew derived from a call and put option with 30 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_90d_expiration	The skew derived from a call and put option with 30 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_120d_expiration	The skew derived from a call and put option with 30 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_180d_expiration	The skew derived from a call and put option with 30 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_270d_expiration	The skew derived from a call and put option with 30 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_30_1y_expiration	The skew derived from a call and put option with 30 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_1d_expiration	The skew derived from a call and put option with 35 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_2d_expiration	The skew derived from a call and put option with 35 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_3d_expiration	The skew derived from a call and put option with 35 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_7d_expiration	The skew derived from a call and put option with 35 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_14d_expiration	The skew derived from a call and put option with 35 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_21d_expiration	The skew derived from a call and put option with 35 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_30d_expiration	The skew derived from a call and put option with 35 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_60d_expiration	The skew derived from a call and put option with 35 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_90d_expiration	The skew derived from a call and put option with 35 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_120d_expiration	The skew derived from a call and put option with 35 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_180d_expiration	The skew derived from a call and put option with 35 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_270d_expiration	The skew derived from a call and put option with 35 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_35_1y_expiration	The skew derived from a call and put option with 35 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_1d_expiration	The skew derived from a call and put option with 40 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_2d_expiration	The skew derived from a call and put option with 40 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_3d_expiration	The skew derived from a call and put option with 40 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_7d_expiration	The skew derived from a call and put option with 40 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_14d_expiration	The skew derived from a call and put option with 40 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_21d_expiration	The skew derived from a call and put option with 40 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_30d_expiration	The skew derived from a call and put option with 40 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_60d_expiration	The skew derived from a call and put option with 40 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_90d_expiration	The skew derived from a call and put option with 40 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_120d_expiration	The skew derived from a call and put option with 40 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_180d_expiration	The skew derived from a call and put option with 40 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_270d_expiration	The skew derived from a call and put option with 40 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_40_1y_expiration	The skew derived from a call and put option with 40 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_1d_expiration	The skew derived from a call and put option with 45 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_2d_expiration	The skew derived from a call and put option with 45 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_3d_expiration	The skew derived from a call and put option with 45 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_7d_expiration	The skew derived from a call and put option with 45 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_14d_expiration	The skew derived from a call and put option with 45 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_21d_expiration	The skew derived from a call and put option with 45 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_30d_expiration	The skew derived from a call and put option with 45 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_60d_expiration	The skew derived from a call and put option with 45 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_90d_expiration	The skew derived from a call and put option with 45 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_120d_expiration	The skew derived from a call and put option with 45 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_180d_expiration	The skew derived from a call and put option with 45 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_270d_expiration	The skew derived from a call and put option with 45 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_45_1y_expiration	The skew derived from a call and put option with 45 delta expiring 1 year in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_1d_expiration	The skew derived from a call and put option with 50 delta expiring 1 day in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_2d_expiration	The skew derived from a call and put option with 50 delta expiring 2 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_3d_expiration	The skew derived from a call and put option with 50 delta expiring 3 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_7d_expiration	The skew derived from a call and put option with 50 delta expiring 7 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_14d_expiration	The skew derived from a call and put option with 50 delta expiring 14 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_21d_expiration	The skew derived from a call and put option with 50 delta expiring 21 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_30d_expiration	The skew derived from a call and put option with 50 delta expiring 30 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_60d_expiration	The skew derived from a call and put option with 50 delta expiring 60 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_90d_expiration	The skew derived from a call and put option with 50 delta expiring 90 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_120d_expiration	The skew derived from a call and put option with 50 delta expiring 120 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_180d_expiration	The skew derived from a call and put option with 50 delta expiring 180 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_270d_expiration	The skew derived from a call and put option with 50 delta expiring 270 days in the future.	1h, 1d	🔗
volatility_implied_skew_delta_50_1y_expiration	The skew derived from a call and put option with 50 delta expiring 1 year in the future.	1h, 1d	🔗

Data Sources and Methodology

Our skew metrics are calculated as the spread between the implied volatility (IV) of a call option and the IV of a put option at the same absolute delta and expiration:

$$\text{Skew}_{\Delta, T} = IV_{\text{Call}, \Delta, T} - IV_{\text{Put}, \Delta, T}$$

• $IV_{\text{Call}}$: The interpolated implied volatility of the out-of-the-money (OTM) call.

• $IV_{\text{Put}}$: The interpolated implied volatility of the out-of-the-money (OTM) put.

• $\Delta$ (Delta): The absolute moneyness (e.g., 25 Delta).

• $T$ (Tenor): The standardized time to expiration (e.g., 30 days).

The $IV_{\text{Call}}$ and $IV_{\text{Put}}$ are represented by our Implied Volatility, Constant Maturity, Constant Delta metrics.

Coverage

Coin Metrics CoverageCoin Metrics Coverage

API Endpoints

The metrics are served through the following endpoints:

• /timeseries/exchange-pair-metrics

Examples

Example for Exchange Asset Metrics

A sample of the volatility_implied_skew_delta_25_30d_expiration metric for the exchange_asset deribit-btc-usd from our /timeseries/exchange-pair-metrics API endpoint is provided below. You can view this example in your browser here.

[
  {
    "exchange_pair": "deribit-btc-usd",
    "time": "2025-12-10T00:00:00.000000000Z",
    "volatility_implied_skew_delta_25_30d_expiration": "-0.053488245675982"
  },
  {
    "exchange_pair": "deribit-btc-usd",
    "time": "2025-12-11T00:00:00.000000000Z",
    "volatility_implied_skew_delta_25_30d_expiration": "-0.052877510737897"
  },
  {
    "exchange_pair": "deribit-btc-usd",
    "time": "2025-12-12T00:00:00.000000000Z",
    "volatility_implied_skew_delta_25_30d_expiration": "-0.049064410889147"
  }
]

Frequently Asked Questions

What units are the implied volatility metrics in?

The metrics are presented in raw units. For instance, a value of 0.5223685 should be interpreted as 52.23685%.