Price & Market BehaviorCore researchlive in production

Options Skew

Updated dailyData needs: medium

2010

Xing, Y., Zhang, X., Zhao, R. (2010). "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?" Journal of Financial and Quantitative Analysis 45(3), 641-662.

Read the paper →

In plain terms

Reads the option-chain 'smile' — when puts are unusually expensive vs calls, traders fear downside. v2 generator now uses the gauss314 HuggingFace bulk dataset, but coverage stops at 2023-07-28. Waiting on the IBKR paper-account forward fetcher to top-up post-2023 options chains for live signals.

How it works

Bucketed put-call skew (Xing-Zhang-Zhao 2010 proxy): high (otm_iv − atm_iv) z-score → put protection in demand → bearish drift; low z → complacency → long. v2 uses options_chain_daily per-moneyness-bucket IV columns; strike-level Polygon Options feed pending.

Live results

0 times picked on its own · 55 times inside a blend (52 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 55 such blended picks (52 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Options chain daily
End-of-day OPRA option chains used by IV-skew family.

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

Explore Options Skew on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 571 families