7.5
Volatility Skew
PYTHON PLUGIN
Volatility
Skew
Description
Strategy 7.5: Trade risk reversals on extreme vol skew
Strategy Logic
Strategy 7.5: Volatility Skew.
Trade risk-reversals when the volatility skew is extreme. When skew is
steep (OTM puts much more expensive than OTM calls), buy OTM calls and
sell OTM puts (long risk-reversal). When flat or inverted, do the
opposite.
Skew = IV_put - IV_call.
Expects ``iv_put`` and ``iv_call`` columns (OTM implied vols).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 60 | int |
| entry_z | 1.5 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 6.0% |
| Stop Loss Pct | 8.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |