Risk reversal
A 25-delta risk reversal usually compares the implied volatility of a 25-delta call with a 25-delta put. One common convention is:
RR25 = IV(25D call) - IV(25D put)
The sign depends on the convention and the asset. A more negative RR25 generally means the put wing is more expensive than the corresponding call wing under that convention. Always label the convention when comparing values.
Butterfly
A 25-delta butterfly compares the two wings with an ATM reference. A common convention is:
BF25 = (IV(25D call) + IV(25D put)) / 2 - IV(ATM)
BF25 describes curvature: how much the wings sit above or below the center. It is not the same as a simple put-call skew measure.
Why delta matters
Strike distances are not comparable across expiries when spot, time, and volatility differ. Delta coordinates provide a more stable trader language for comparing the 25-delta wings across maturities, although the mapping itself depends on the pricing model and inputs.
Quality checks
- Confirm both 25-delta brackets exist before interpolating.
- Check whether call and put quotes are stale or unusually wide.
- Keep IV units consistent: percentage points are not basis points.
- Compare RR25 and BF25 across a consistent expiry or maturity bucket.
- Do not interpret an extreme metric as an automatic trade recommendation.
IVExplorer workflow
Use the delta surface to see the available brackets, then compare RR25 and BF25 across expiries. When the live snapshot does not contain the required brackets, IVExplorer reports the metric as unavailable rather than silently extrapolating it.