Ivolution Research Journal · Working paper
Put-skew steepening (delta-25d change) -> forward downside asymmetry
Sessions where the 25-delta put skew STEEPENS by >=80th pctl of its trailing 60-session change distribution show greater forward downside asymmetry than the matched baseline over 1/3 sessions.
Cite as: VRP-11: Put-skew steepening (delta-25d change) -> forward downside asymmetry. Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
1 session · 3 sessions