Risk Reversal Skew Trading

objective

Trade skew dislocations with risk-reversal structures and controlled vega/delta exposure.

workflow

1. define skew thesis by underlier, maturity, and regime context.
2. construct risk-reversal legs with target delta and vega profile.
3. measure skew deviation against historical and cross-asset baselines.
4. stress against spot jumps, skew twists, and vol surface shifts.
5. deploy only when skew edge survives implementation and carry costs.

required diagnostics

• skew zscore and percentile dynamics over rolling windows.
• carry and convexity contribution to risk-reversal pnl.
• cross-maturity skew consistency and basis risks.
• vega concentration and delta drift after spot shocks.
• net edge after slippage and funding adjustments.