When it comes to options trading, understanding implied volatility (IV) skew can give you a deeper view of market expectations. In Market Chameleon’s webinar “How to Screen Implied Volatility Skew by Expiration”, Demitri Parammonic and Will walk through a powerful way to quantify and compare skew using the Options by Expiration Screener — a tool that helps you break down complex volatility dynamics into actionable insights.
With this tool, you’re not just looking at a single IV number — you’re dissecting how implied volatility shifts across strike prices, expirations, and even across different stocks.
The Options by Expiration Screener lets you:
List stocks with listed options and display expiration-specific analytics.
Compare IV across different expiration dates, revealing changes in market sentiment over time.
Spot vertical skew by measuring the difference between at-the-money IV and the IV of out-of-the-money 25 delta calls and puts.
Filter and sort by metrics like volume, skew percentage, or 25 delta put vs. call IV differences to focus on the most relevant opportunities.
You can try it for yourself here:
?? https://marketchameleon.com/Screeners/Options
Implied volatility skew measures how IV changes between strike prices for the same expiration.
A flat skew means IV is about the same across strikes.
A downside skew means puts carry higher IV than ATM options — often signaling greater fear of a downside move.
An upside skew means calls have lower IV than ATM options, which can point to an expectation of reduced volatility on rallies.
Reverse skew (more common in commodities) flips this pattern, showing higher call IV and lower put IV.
By analyzing skew, you can:
Understand whether the market is pricing in more risk to the upside or downside.
Identify unusual volatility patterns that might reveal mispriced options.
Compare how skew differs between assets — for example, SPY’s consistent downside skew vs. gold’s potential reverse skew.
In the webinar, Demitri and Will use examples like SPY, Amazon, and GLD to illustrate how these differences can shape your research. For SPY, downside puts carried IV levels up to 20% higher than ATM, while GLD’s upside calls had higher IV — hinting at different underlying market narratives.
One of the most powerful features of this tool is its ability to filter by expiration date and minimum option volume. This means you can:
Zero in on expirations with the most activity.
Quickly sort by the largest skew differences to find stand-out cases.
Build a focused watchlist based on volatility characteristics, not just price action.
For example, if you set your screener to show expirations with at least 20,000 contracts in volume, you instantly filter out illiquid names — keeping your focus on markets where spreads are tighter and fills are more reliable.
You don’t have to guess what the market is expecting — you can measure it. The Options by Expiration Screener turns complex IV data into clear, sortable metrics, giving you a more informed starting point for your options strategies. Whether you trade index ETFs, tech stocks, or commodities, this tool helps you spot patterns and make data-driven decisions.
Try it now and see how skew analysis can enhance your trading process:
?? https://marketchameleon.com/Screeners/Options
Financial Disclosure: This content is for informational and educational purposes only and does not constitute investment advice or a recommendation to buy or sell any security. Options involve risk and are not suitable for all investors. Please consult with a qualified financial advisor before making any investment decisions.