Skew by Moneyness in NG options

B

Brighton

Hi - I was messing around with some ATM IV values (constant maturity - from iVolatility's IV Graph) and came across a menu option for "Skew by Moneyness." Although I understand the individual terms, I wasn't familiar with this type of data representation, so I Googled it. I came across a two or three year old article by one of the authors/traders behind "Expiring Monthly" magazine and he said IV Graph's "Skew by Moneyness" was not very common in the industry.

So, is iVolatility ahead of their time or did the options analysis industry decide long ago that this was a measure that didn't add much value?

FYI, it's the chart at the bottom in purple and yellow. It looks like they subtract the IV for a strike 10% above ATM from a strike 10% below ATM, and since we're at an extreme in NG call skew right now, the value shows as a negative.
 

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It's a very common thing to look at, so nothing too revolutionary. In FX, like I might have mentioned previously, stuff like 25D RR, which is a similar concept, is everywhere.
 
Thank you, that's helpful.

I have access to RR numbers from 5 to 45 delta, but they are just 'day of' - no time series. I think the IV Graph above may help identify/confirm extremes.

Speaking of which, NG volatility is the place to make or lose a lot of money right now.
 
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