Call Skew
Call skew is a form of volatility skew where call options have higher implied volatilities than put options at the same strike distance from the money. This is rarer than put skew and is often seen in markets where there is a strong demand for upside participation, like certain speculative commodities.
It indicates a market bias toward sudden upward price spikes. It is an important sentiment indicator.
Glossary
Put Call Parity Relation
Principle ⎊ The put-call parity relation is a fundamental no-arbitrage principle in options pricing, establishing a theoretical relationship between the prices of European call and put options with the same strike price, expiration date, and underlying asset.
Volatility Skew Measurement
Phenomenon ⎊ Volatility skew measurement refers to the analysis of the implied volatility of options across different strike prices for the same expiration date, which typically forms a non-flat curve.