One thing I don’t understand about skew:

[VolSkewTrader]

If I may revive an old thread (as I start to better understand what was communicated within it ha):

McMillan in his books mentions that IV for a LEAPs generally trades in a tighter range compared to near term maturities. I understand his remark when curves are compared across strike... the LEAPs are flatter, the near terms are steeply skewed and relatively more sensitive, etc.

But what if we standardize the curves as you did above? Let's say according to their Delta. The curves are much more commensurate in shape.

My question: does his contention that IV trades in a much tighter range still hold up when we compare across Delta? I don't think it would, right?

To be clear, he was addressing traders against using LEAPS in a short calendar (long front month, short LEAPs) due to - Im assuming - time Vega risk. I'm guessing he was moreso addressing the point that the LEAPs leg may be more unresponsive than the near month leg to changes in volatility measured across strike. But as an absolute generality made when comparing two curves across Deltas, his comment about the IV range being tighter would not hold water, correct?

Standardizing the curves according to delta or standard deviation/sigma (standardized moneyness) would likely show that the IVs are more constant across maturities. It just doesn't make sense to compare the same strikes between different maturities without adjusting for the differences in time to maturity. If you want compare strikes you should use the following formula:

[(100% ATM Strike IV) - (90% Strike IV)] * √t​

The square root of time factor normalizes same strike skews of a term structure. So the skews of different expirations can be compared by multiplying by the square root of the days to expiration expressed in year terms (21 days/252 business days = 1 month). This formula is most applicable to equity option IV curves given their similar steep downside slopes, hence the common practice of using the 90% (K/S) strike.

Whether or not the IV range is "tighter" in the front month vs the back month (or LEAP) will also depends on how many days remain till expiration for the front month, and current market conditions. As you get closer to expiration your IV range in the front month is going to generally increase vs the LEAPs, whose IVs exhibit "sticky" behavior. This will be also be the case when compared across delta and sigma. Also, in this current environment when all asset classes are exhibiting wild price swings and wide ranges, and "vol of vol" is high, the front months are going to have pronounced skews relative to the back months, even when comparing IVs according to delta or sigma.