Exploring Skew Premium in FX Market Trading Strategies

This chapter examines a recently published paper focusing on utilizing volatility skew in the FX market for trading strategies. The speaker discusses the asymmetry between call and put prices, the significance of skew premium in option positions, and the interplay between implied and realized spot-vol covariances. Practical insights on implementing a strategy to exploit skew premium through risk reversals, considering market conditions, liquidity, and transaction costs are also emphasized.