“Is the market pricing flash crash risk in the deep tails?”

/greeks/snapshot· pandas · ~3 min★ pro

Output PreviewRisk gauge + IV wing decomposition

◫

Fetches real data from the Cayo Largo API

What You'll See

Shows the Tail Strike score: the divergence between deep OTM (10-delta) and moderate OTM (25-delta) vol, normalized by ATM. When deep tails get bid independently of moderate OTM, someone is buying crash protection.

The Trading Edge

What most people do

Look at 25-delta skew and assume it captures tail risk. It doesn't. The 25-delta wing is liquid and traded by everyone. The real crash signal lives in the 10-delta wing, which only institutional hedgers touch.

What this gives you

The Tail Strike score separates deep-tail from moderate-OTM positioning. A score above 0.15 with HIGH confidence means institutional players are specifically buying crash insurance, not just broadly hedging.

Go deeper

Compare with Put/Call Skew Scanner to see if the skew steepening is broad or concentrated in the tails. Link to Cascade Events to see Tail Strike signals before real crashes.

Related Recipes

Volatility Surface~3 min

“How steep is the BTC put skew and is it steepening?”

GEX & Pinning~5 min

“Where are the magnetic strikes pulling BTC price toward?”