Put Buying BarrageSep 29, 2021
A large amount of put buying in the Oct. 8 options expiry caused the short-term put-call skew to shoot up. For those who need a refresher, the 25 delta put-call skew measures the pricing of puts and calls that have a delta of 0.25/-0.25. It helps establish relative pricing between calls and puts that offer investors similar exposure to the upside (calls) or downside (puts).
As a result, for one week and one month options, buying calls provide a better risk-reward than usual. And, calls are implied to be cheaper than puts.
At the same time, longer-term skews are continuing to fall after a short-lived increase in early September. Simply put, this means the market is facing short-term anxieties and the outlook for Q4 is still optimistic.