Read on Twitter
Skew trading in the later part of 2020 was tough for people who did not really accept the realities of what was taking place.
When Vol goes through the roof, the entire TS becomes elevated, when we calm down, the 100%mny drops fast while 80%mny and out remains sticky...
1/6
When Vol goes through the roof, the entire TS becomes elevated, when we calm down, the 100%mny drops fast while 80%mny and out remains sticky...
1/6
This in itself can be misleading hence why you need to use different forms of skew analysis (Delta skew + Strike skew), coupled with analyzing different lookback periods. If you statically try to fit something it will lead you down the wrong road.
2/6
2/6
Don't be the guy only focused on downside skew,right tail skew in U.S equities have been massively underpriced for years due to structural trading. U.S equities naturally carry an upward drift + call overwriting has suppressed call side Vols to make right tail skew a layup
3/6
3/6
Raging high vol can be a skew killer if you are looking for real value. I personally try to focus on supply & demand imbalances coupled with special situations that offer jumps on short dated tenor. If you were not selective these last 6mths, you probably lost a ton of money
4/6
4/6
1 reason I enjoy trading skew/kurtosis, is due to the fact tht it is not fully quantifiable. Us quants focus on quantifying these areas but there is no perfect science to it..u cnt run a simple regression model and try to fit it.skew isnt directly linear to the asset changes
5/6
5/6
Also the further you slide OTM the more it becomes "the wild wild west"....you start to have a solid idea of how willing a market maker is to take on that risk or adjust his vols to make you meet his market....this tells you a lot (cough, cough) 
.
6/6
. 6/6
