Api V2 Signals Basic Skew-Delta Get

Short-dated OTM put-vs-call IV deviation — real-time fear gauge.

Answers: are traders paying an unusual premium for downside protection right now? Equity-index skew is structurally positive (OTM puts always trade richer than OTM calls), so this signal scores the deviation from normal, not the raw spread. Bid-up put skew typically moves before the tape confirms bearishness — useful leading-indicator.

Logic highlights (src/signals/basic/skew_delta.py):

• spread = otm_put_iv − otm_call_iv from ctx.extra['skew'] (populated by the unified engine from option_chains near ATM).
• deviation = spread − SIGNAL_SKEW_BASELINE (default baseline 0.02).
• score = −clip(deviation / SIGNAL_SKEW_SATURATION, [-1, 1]) (default saturation 0.04). Negative sign: elevated put skew → bearish.
• Abstains (score=0) if otm_put_iv or otm_call_iv is missing.

Params:

• symbol (default SPY). Returns 404 if no row exists yet.

Returns:

{
  "underlying": "SPY", "timestamp": "...",
  "clamped_score": -0.35, "score": -35.0, "direction": "bearish",
  "weighted_score": 0.0, "weight": 0.0,
  "otm_put_iv": 0.192,
  "otm_call_iv": 0.147,
  "spread": 0.045,
  "deviation": 0.025,
  "context_values": {
    "otm_put_iv": 0.192, "otm_call_iv": 0.147,
    "spread": 0.045, "baseline": 0.02, "deviation": 0.025
  },
  "score_history": [{"score": -14.1, "timestamp": "..."}, "...up to 90"]
}

• score / clamped_score — [-100, +100] / [-1, +1]; negative = fear bid.
• otm_put_iv / otm_call_iv — IV as a fraction (e.g. 0.18 = 18%). null if missing.
• spread — otm_put_iv − otm_call_iv; typically [0, 0.10] for SPY. null if missing.
• deviation — spread − baseline; sign drives the score (positive → bearish score).
• context_values — the above plus baseline (the neutral-skew reference).
• score_history — up to 90 recent points.

Trader interpretation.

• score < −40 → meaningful fear bid; tighten longs, consider downside hedges.
• score > +30 (rare, call skew) → potential upside squeeze / short-covering setup.
• Steady negative drift while price rallies → distribution / bull-trap warning.
• otm_put_iv == null → no short-dated data this cycle; not the same as neutral.

Page design. Bidirectional ±100 gauge labeled "fear" (left) / "euphoria" (right). Below, a two-line mini-chart of otm_put_iv and otm_call_iv as % IV over score_history length, with a horizontal reference line at baseline (the "normal skew" line). Color the gauge card red when score ≤ -40, green when score ≥ +30.