Reply To: What is Risk Reversal and Delta Strangle ?

Israr Ahmed

The name comes from option strategies .
Risk Reversal :
Delta Strangle :

In the context of the question both these numbers are a way to measure the shape of the Volatility Smile.

Risk Reversal gives a measure of vol-skew.

25 Delta Risk Reversal = Vol 25 Delta Call – Vol 25 Delta Put

Delta Strangle gives a measure of the curvature of the volatility smile.

25 Delta Strangle = ( Vol 25 Delta Put + Vol 25 Delta Call ) / 2 – Vol ATM

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