Price & Market BehaviorExtended setlive in productionNew

risk-neutral skew term structure spread

Updated dailyData needs: highshort onlylong onlylong short

In plain terms

When near-term options suddenly price in much more crash risk than longer-dated ones, the stock tends to fall as the market catches up.

How it works

The slope of the risk-neutral skewness term structure (near minus far maturity) carries information distinct from single-maturity skew. A steepening near-term left skew prices imminent crash risk that the equity market underreacts to, so high near-minus-far put skew precedes negative drift.

Live results

28 times picked on its own · 62 times inside a blend (61 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 62 such blended picks (61 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)

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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

Captures equity-market underreaction to imminent crash risk that is priced into the near-dated skew before the far-dated skew.

Related families

risk-neutral skewness shortPrice & Market Behavior

Stocks whose options make them look like lottery tickets with big upside tend to disappoint, so this strategy bets against them.

implied volatility term structure slopePrice & Market Behavior

When longer-dated options are calmer than near-dated ones the market is relaxed and the stock can trend up, but when near-dated options are jumpier it signals near-term stress.

Explore risk-neutral skew term structure spread on alphactor.ai

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