Call vs put IV skew report
Liquid calls ranked by call IV minus put IV at the same strike and expiry, in IV points.
Overview
The Call vs put IV skew (same strike) report compares the implied volatility of the call and the put at the same strike and expiration. In theory they should be close; a large gap shows where one side is priced richer.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- One row per strike and expiry (the call row carries the pair).
- IV call - put = call IV - put IV, in IV points. Rows without a quoted put are left out.
- Only the call needs to be liquid. Sorted by the difference, largest first.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose the Implied Volatility family (or type "Call vs put IV skew (same strike)" in Search reports) and open Call vs put IV skew (same strike).
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Change any filter (for example pick one symbol) and press Run to refresh the grid.
- Choose Save as screen to keep your variant under Research → Saved Screens, where you can schedule it or turn it into an alert.
- Use Export CSV to download the rows (plans with CSV export).
Columns and metrics
| Column | What it means |
|---|---|
| IV call - put (same strike) | Call IV minus put IV at the same strike and expiry, in IV points. |
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| OI | Open contracts as of the prior settlement. |
| Bid | Best bid of the latest snapshot. |
| Mark | Bid/ask midpoint, per share. This is the premium the reports use. |
| Und. Price | The latest price of the underlying stock. |
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- A positive value means the call is priced at a higher IV than the put at the same strike; a negative value the opposite.
- Small differences come from quotes, dividends and rates; look for outliers.
Example
Illustrative only - the symbol and numbers are invented.
XYZ 100 strike, 20 December: call IV 38 %, put IV 31 % - IV call - put (same strike) 7 points, Volume 1,800, OI 6,000, Und. Price $99.
Using it in your research
- Find strikes where calls are unusually rich relative to puts (or the reverse), then check volume and news.
- Compare with IV difference to see whether the skew is near-term only.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
Troubleshooting
A strike I expected is missing
Both the call and the put at that strike must have an IV, and the call must be liquid.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.