Price & Market BehaviorExtended setexperimental liveNew

skew-panic reversal

Updated dailyData needs: mediumlong onlyshort onlylong short

In plain terms

When put options spike in price and fear is high right after a drop, buy the bounce; when calls are euphoric after a run-up, fade it.

How it works

Combines the 25-delta risk-reversal (put-vs-call skew) and IV rank into a panic/complacency gauge and gates it on recent price stress. Extreme put-skew plus high IV rank right after a short selloff is treated as a capitulation/insurance-premium reversal; extreme call-skew plus low IV rank after a run-up is treated as a complacency fade.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

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

Expected edge

Buying into option-market panic after a selloff (and fading complacency after a rally) should harvest the over-pricing of crash insurance and short-term mean reversion.

Related families

cross-sectional options stress contrarianPrice & Market Behavior

Compare a stock's option fear gauge to every other optionable stock today, and buy the most fearful after a dip or fade the most complacent after a rally.

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