Skew Vega is the exposure of an options portfolio to a change in the implied vol skew, e.g. change in the risk reversal level. While teaching my daughter trigonometry, I realized that using some basic trigonometry, I could easily calculate the Skew vega in the case where there is no functional form (parameterized) volatility surface. Here is a simple and elegant model to calculate the skew vega

Robbie SzumskiWow, stunning site. Thnx …|

HostingThe volatility skew is represented graphically to demonstrate the IV of a particular set of options. Instead, it functions as part of a formula used to predict the future direction of a particular underlying asset.