SkewPreme

Systematic skew premium harvesting with regular rolls and delta hedging.

Strategy

SkewPreme sells options at a target delta and expiration, rolls within the term structure, and hedges when the underlying moves past a threshold. The strategy aims to capture skew premium while controlling directional risk.

Put options typically trade at a higher value than call options of the same delta, reflecting the embedded risk of a large downside move. The strategy captures credits from selling puts and buying calls, but manages downside by rebalancing underlying positions.

Use the Run Backtest tab to run historical simulations with your chosen parameters. View all your backtests in the Saved Backtests tab. Active engagements appear under My SkewPreme.

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