in my simplistic observation of SPY skew it looks like put skew remains bid probably because down is destabilizing as you explained, plus while consensus is bullish, they are cautious as you have many macro guys (TDD) and talking heads preaching caution at these valuations. I would have expected call skew to expand more than it has for the intermediate strikes, but we've only seen the right tail bid up, probably a cheap way to "rent the rally." Overall the distribution looks like its heavily weighting small upside, fairly pricing the downside tail, and underpricing the intermediate part of the right side of the distribution relative to lognormal of course.
Glad you enjoyed rework! That’s up in there in terms of books that have been most impactful to me
Also the bootcamp sounds very cool :)
in my simplistic observation of SPY skew it looks like put skew remains bid probably because down is destabilizing as you explained, plus while consensus is bullish, they are cautious as you have many macro guys (TDD) and talking heads preaching caution at these valuations. I would have expected call skew to expand more than it has for the intermediate strikes, but we've only seen the right tail bid up, probably a cheap way to "rent the rally." Overall the distribution looks like its heavily weighting small upside, fairly pricing the downside tail, and underpricing the intermediate part of the right side of the distribution relative to lognormal of course.