Historically cheap call and put skew
Which side of the options market is inexpensive versus its own historical skew?
Matched-delta, matched-maturity wing volatility compared with ATM volatility and its own historical distribution. Relative cheapness does not predict the direction of the underlying. Data through close. Descriptive only, not a recommendation.
At a glance
38 tickers qualified. First five: CMCSA (Matched the dated research filter. Contract details are not published.), TNA (Matched the dated research filter. Contract details are not published.), SHOP (Matched the dated research filter. Contract details are not published.), UNH (Matched the dated research filter. Contract details are not published.), VST (Matched the dated research filter. Contract details are not published.).
Evaluated 197 tickers with the required inputs. Tickers with missing history or ineligible quotes are excluded. At most 50 matches are published.
| # | Ticker | Close | Open interest | Research observation |
|---|---|---|---|---|
| 1 | CMCSA | 20.66 | 818,562 | Matched the dated research filter. Contract details are not published. |
| 2 | TNA | 58.11 | 138,807 | Matched the dated research filter. Contract details are not published. |
| 3 | SHOP | 170.85 | 599,014 | Matched the dated research filter. Contract details are not published. |
| 4 | UNH | 379.30 | 841,315 | Matched the dated research filter. Contract details are not published. |
| 5 | VST | 161.48 | 526,142 | Matched the dated research filter. Contract details are not published. |
| 6 | APP | 277.04 | 373,476 | Matched the dated research filter. Contract details are not published. |
| 7 | CSCO | 118.39 | 873,185 | Matched the dated research filter. Contract details are not published. |
| 8 | BMY | 59.12 | 762,743 | Matched the dated research filter. Contract details are not published. |
| 9 | TGT | 153.64 | 387,831 | Matched the dated research filter. Contract details are not published. |
| 10 | DAL | 82.17 | 496,009 | Matched the dated research filter. Contract details are not published. |
| 11 | TEM | 70.93 | 383,539 | Matched the dated research filter. Contract details are not published. |
| 12 | GME | 26.56 | 1,791,294 | Matched the dated research filter. Contract details are not published. |
| 13 | MMM | 159.96 | 106,470 | Matched the dated research filter. Contract details are not published. |
| 14 | GEV | 1,004.73 | 220,367 | Matched the dated research filter. Contract details are not published. |
| 15 | W | 105.74 | 198,794 | Matched the dated research filter. Contract details are not published. |
| 16 | EWY | 177.24 | 1,089,754 | Matched the dated research filter. Contract details are not published. |
| 17 | AG | 17.28 | 1,047,870 | Matched the dated research filter. Contract details are not published. |
| 18 | AXP | 308.17 | 240,763 | Matched the dated research filter. Contract details are not published. |
| 19 | ALAB | 342.21 | 235,604 | Matched the dated research filter. Contract details are not published. |
| 20 | WFC | 83.55 | 1,200,656 | Matched the dated research filter. Contract details are not published. |
| 21 | HD | 290.74 | 285,710 | Matched the dated research filter. Contract details are not published. |
| 22 | NFLX | 70.30 | 5,052,857 | Matched the dated research filter. Contract details are not published. |
| 23 | CVNA | 63.73 | 920,992 | Matched the dated research filter. Contract details are not published. |
| 24 | RIVN | 13.96 | 2,108,761 | Matched the dated research filter. Contract details are not published. |
| 25 | LRCX | 318.84 | 533,934 | Matched the dated research filter. Contract details are not published. |
| 26 | XSP | 781.15 | 794,416 | Matched the dated research filter. Contract details are not published. |
| 27 | MCD | 235.23 | 442,102 | Matched the dated research filter. Contract details are not published. |
| 28 | IWM | 278.93 | 10,512,875 | Matched the dated research filter. Contract details are not published. |
| 29 | SPXW | 7,813.44 | 4,826,452 | Matched the dated research filter. Contract details are not published. |
| 30 | NBIS | 221.07 | 1,359,764 | Matched the dated research filter. Contract details are not published. |
| 31 | SPY | 778.57 | 17,535,911 | Matched the dated research filter. Contract details are not published. |
| 32 | GLW | 156.68 | 529,832 | Matched the dated research filter. Contract details are not published. |
| 33 | WULF | 13.77 | 2,957,102 | Matched the dated research filter. Contract details are not published. |
| 34 | KO | 88.05 | 659,766 | Matched the dated research filter. Contract details are not published. |
| 35 | GM | 82.73 | 286,851 | Matched the dated research filter. Contract details are not published. |
| 36 | NVO | 38.64 | 1,518,421 | Matched the dated research filter. Contract details are not published. |
| 37 | CLF | 12.98 | 747,322 | Matched the dated research filter. Contract details are not published. |
| 38 | AXTI | 68.46 | 235,609 | Matched the dated research filter. Contract details are not published. |
Screens describe what the data shows after the close. They are not trade recommendations; see the disclaimer and the methodology.