Unlike the Term Structure, Skew helps us understand how volatility changes on the same maturity but with different strikes.

The skew of an option is a measure of the shape of the option price distribution for an underlying asset. In other words, it represents the relationship between the prices of options with different strikes and maturities.

• Skew is positive when put options are more expensive than call options with the same strike and maturity, indicating that the market expects higher downside volatility.
• Skew is negative when call options are more expensive than put options with the same strike and maturity, indicating that the market expects higher upside volatility.