ta_lib_in_rust::indicators::options::implied_volatility

Function calculate_iv_skew

Source 
pub fn calculate_iv_skew(
    _df: &DataFrame,
    _options_chain: &DataFrame,
    _current_price: f64,
    _delta_range: (f64, f64),
) -> Result<Series, PolarsError>
Expand description

Calculate implied volatility skew

Measures the difference in IV between OTM puts and OTM calls to identify potential market sentiment and tail risk expectations.

§Arguments

  • df - DataFrame with price data
  • options_chain - DataFrame with options data
  • current_price - Current price of the underlying
  • delta_range - Range of delta values to include

§Returns

  • Result<Series, PolarsError> - IV skew value (positive: put skew, negative: call skew)