Skew arbitrage is a type of statistical arbitrage implemented by trading a delta and volatility neutral portfolio. The objective is to take advantage of differences between the implied skew and a forecast of future realized skew of the option's underlier. Is it possible. Apr 19, · What is the 'Volatility Skew'. The volatility skew is the difference in implied volatility (IV) between out-of-the-money options, at-the-money options, and in-the-money options. Volatility skew, which is affected by sentiment and the supply and demand relationship, provides information on whether fund managers prefer to write calls or puts. Mar 08, · Understanding the Four Measures of Volatility. A timely (and timeless) overview of the essentials of volatility. command an intimate knowledge of statistics, the definition is most.
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