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research · Apr 6, 2026 · 12 min read

Volatility Smile vs Skew: What's the Difference?

SPY's 25-delta put carries an implied volatility of 29.2%. The same-delta call sits at 16.7%. That's a 12.6 percentage point gap, and it tells you something that most options textbooks get wrong from page one. Every introductory course draws a symmetric U-shape for

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Featured Research Markets Engineering
research · Apr 6, 2026

Volatility Smile vs Skew: What's the Difference?

SPY's 25-delta put carries an implied volatility of 29.2%. The same-delta call sits at 16.7%. That's a 12.6 percentage point gap, and it

12 min read
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