What Skew Really Is, Why It Just Crashed, and What That Means for 03/23-03/27
Sunday 03/22/26 — Maverick Framework 5.8
Before we get into what just happened and why it matters, you need to understand what skew actually is — not the textbook definition, but what it represents mechanically in the market.
Skew measures the difference in implied volatility between out-of-the-money puts and out-of-the-money calls at the same distance from the current price.
The standard metric is the 1-month 25-delta risk reversal — specifically, the IV of a 25-delta put minus the IV of a 25-delta call, divided by ATM IV. When this number is high, puts are expensive relative to calls. When it crashes, puts are getting cheaper relative to calls (or calls are getting more expensive).
But here's where most explanations go wrong. People think skew is about what investors are doing — buying puts, selling puts, hedging, speculating. That's the surface-level story. The actual driver is what's happening to the market maker's position.
Skew comes from a specific position in market making called a risk reversal. When you, as an equity holder, want to hedge your downside, you do two things: you buy a put to protect yourself, and you sell a call to finance that hedge. This is the bread-and-butter institutional hedging structure.
When you execute this trade, here's what happens on the other side of it:
That last line is the critical one. The market maker's position — short the put, long the call — is called being "short skew." This is where the skew price comes from. Not from some abstract measurement of fear, but from the actual inventory the market maker is sitting on.
"Skew drops because investors monetize their hedges (sell their puts back)."
This is what Goldman Sachs, CBOE, and most of FinTwit will tell you. It sounds logical — investors bought puts, they made money, they sell them, puts get cheaper, skew drops. But this is a cop-out explanation that's only sometimes true.
The real explanation requires understanding Vanna — and this is where things get powerful.
Vanna measures how an option's delta changes when implied volatility changes. It also measures how an option's vega changes when the underlying price changes. It's the cross-derivative between delta and IV.
In practical terms: Vanna tells you how many futures the market maker has to buy or sell when volatility moves.
Here's the connection that makes everything click:
Skew samples Vanna. Specifically, the 25-delta risk reversal (our skew metric) sits right at the point on the options chain where Vanna exposure is at its maximum. A 25-delta put and a 25-delta call have more Vanna than any other options on the board. So when we're talking about skew, we're really talking about the market maker's Vanna position.
High skew = Market maker has high Vanna exposure (they're short a lot of 25-delta puts)
When the MM has high Vanna exposure and vol drops, they are forced to buy back thousands of futures. This is the mechanical "buy" pressure that produces sharp bounces when vol declines. It's not investor confidence — it's hedging mechanics.
This is why high skew + vol drop = sharp bounce. The Vanna unwind creates buying pressure automatically.
This is the VolSignals insight that separates real understanding from surface-level takes. When thinking about why skew moves, stop thinking about what investors are doing. Think about what's happening to the market maker's position relative to spot and vol.
The market maker prices skew based on their own inventory risk:
The key realization: the market maker's position can change WITHOUT any customer trading. How? Through spot movement and time decay.
The 1-month normalized skew peaked around 0.55 in early March and has collapsed to 0.3809. That's a massive move. Here's why it happened — and it's NOT because investors sold their puts:
This is the most important mechanism and the one most people miss entirely.
Remember, skew is measured at the 25-delta point. When SPX was at 6,900 in late February, the 25-delta put might have been at a strike like 6,600. The market maker was short that put, it had peak Vanna, and skew was high because the MM was pricing in their risk.
Then the market sold off. Hard. SPX went from ~6,900 to 6,506. What happened to that 6,600 put?
When spot crashes down to or through the strike of a put, that put is no longer a 25-delta put. It's now an at-the-money or in-the-money put. Its delta is 50 or higher. And at 50 delta, it has NO VANNA. Zero.
It's pure gamma and vega now. The skew component — the part that was making the market maker nervous, the part they were pricing richly — is gone. Not because anyone traded. Because the market moved.
It's not just the puts. Remember the other leg of the risk reversal — the market maker is LONG the 25-delta call. When SPX was at 6,900, that 25-delta call might have been at strike 7,100. Now with SPX at 6,506, that 7,100 call is deeply out of the money. Its delta has collapsed toward zero. It no longer gives the market maker meaningful Vanna either.
So both sides of the skew position have been hollowed out:
Of course, there's a NEW 25-delta put now — maybe at strike 6,200. But the market maker may not have much inventory there yet. They haven't accumulated the same short position at the new 25-delta strike. So the new skew reading at the new 25-delta level is lower simply because the MM isn't as exposed there.
Now, if the customer comes back and sells back their hedge (the deep ITM put that used to be their 25-delta put), what happens? The market maker BUYS back that deep ITM put. Buying back a deep ITM put is functionally "selling skew" — it reduces their exposure further. Skew drops again.
But here's the VolSignals punchline: even if the customer NEVER comes back, even if nobody trades those puts ever again and they just sit there until expiry — skew still crashes. Because the position moved. Spot changed. The options that were generating the high skew reading are no longer at the 25-delta point.
Skew is not driven by investor behavior. It's driven by the market maker's position relative to spot and vol. When spot moves violently, it transforms which options sit at the 25-delta measurement point. The old skew-generating positions get moved off the board — not by trading, but by math.
Now the payoff — why does this matter for what happens next?
High skew = high Vanna = sharp bounces when vol drops.
Low/crashed skew = low Vanna = weak or absent bounces when vol drops.
This is the direct mechanical link. When skew was at 0.55, a vol drop would have forced market makers to buy back thousands of SPX futures. That mechanical buying is what creates the "snap-back" rallies that feel like the bottom is in. With skew at 0.38, that engine is gone.
This is exactly what VolSignals flagged. Skew topped on ~March 9 and began fading. Since then, what have we seen? The market has sold off persistently with NO sharp bounce. The 03/16-17 bounce was shallow (+1.0%, +0.3%) and faded immediately on 03/18. That's a market with no Vanna support.
With the puts that were generating skew now at-the-money, the market maker's priority shifts. They no longer need to price OTM puts rich (skew). Instead, they need to price ATM implied vol high — because that's where their exposure now sits. This is why we're seeing VIX elevated (range 68, DOMINANT trend) even as skew collapses. The risk hasn't disappeared. It's moved from "skew risk" to "ATM vol risk."
One more nuance worth understanding. When the market crashes and those 25-delta puts become ATM or ITM puts, something else happens. An 80-delta put (deep ITM) has identical greeks to a 20-delta call. So when an SPX market maker is short concentrations of what are now 80-delta puts, it's the same risk profile as being short 20-delta calls. The skew risk hasn't vanished — it's been transformed into a different exposure that shows up differently in the pricing.
If the market keeps crashing and goes BELOW the old put strike, the market maker actually ends up with a LONG skew position (they're now short what's become a deep ITM put, which has call-like greeks on the other side). This is one of the self-correcting mechanisms in options markets, but it only kicks in after significant further downside.
There's a second-order confirmation of the skew thesis hiding in the VIX chart that's worth understanding, because it connects two things that look contradictory on the surface.
Since early March, VIX has been making a staircase pattern — each successive low is higher than the last. VIX spiked, pulled back but not to the prior low, spiked again, pulled back less, spiked again. The range reading confirms it: VIX range went from 40 to 68 (DOMINANT uptrend). Vol itself is in a structural uptrend.
At first glance, this might seem unrelated to skew. But they're the same signal viewed from different angles:
In a HIGH skew regime, VIX spikes get reversed quickly. Why? Because when vol drops from a spike, the Vanna unwind forces market makers to buy futures, which lifts the market, which further compresses vol. It's a self-reinforcing cycle: vol spike → vol drop → Vanna buying → market bounces → vol drops more. VIX mean-reverts FAST.
In a LOW skew regime (now), that cycle is broken. Vol spikes, but the pullback doesn't trigger the same Vanna buying. So vol pulls back less. Then it spikes again from a higher base. Each cycle ratchets higher because the mean-reversion mechanism (Vanna unwind) has been impaired.
The VIX staircase IS the skew crash expressed through realized volatility. The options market is telling you, through the price of ATM vol, that the bounce engine doesn't work anymore. Every successive higher VIX low is the market re-pricing the absence of the Vanna cushion.
This is why you can't just look at VIX at 26 and say "elevated but not panic." The PATTERN matters more than the level. A VIX at 26 that mean-reverts to 18 quickly (high skew regime) is a totally different animal than a VIX at 26 that only pulls back to 22 before ripping to 30 (low skew regime). Same number, completely different structural context.
| Regime | Status | Signal |
|---|---|---|
| Fed Regime | NEUTRAL | Gate open for shorts. Stagflation trap — can't cut, won't hike. |
| Rate Regime | 10Y↑ + DXY↑ | SAFE HAVEN DOLLAR — Risk-off active. |
| DXY-Oil | Oil↑ + DXY↑ | SAFE HAVEN DOLLAR — Bearish metals, bearish equities. |
| ISM Regime | 52.4 EXPANSION | Inflationary expansion. Prices Paid 70.5 (extreme). |
| Credit Regime | HYG Range 5 | TREND DEATH — approaching CLEAR for shorts. |
| 200DMA | SPX BELOW 5+ sessions | +2 bearish convergence. CTA selling active. |
| Earnings Regime | 6 consecutive beat-and-sell | BEARISH — institutions using liquidity to exit. |
| VIX Range | 68 (DOMINANT) | Massive resurge from 40. Vol expansion accelerating. |
| Sentiment | 9.5 / 100 | EXTREME FEAR — lowest since April 2025 crash. |
| 1M Skew | 0.3809 | CRASHED — Vanna support GONE. Bounces will be weak. |
From the 03/23 daily range and trend data, the dominant signals in the market are all bearish for equities:
| Asset | Range | Classification | Direction |
|---|---|---|---|
| TNX (10Y yields) | 96.3 | DOMINANT | UP — #2 strongest trend in market |
| XLE (Energy) | 88.8 | DOMINANT | UP — #1 strongest equity trend |
| /CL (Crude futures) | 85 | DOMINANT | UP — oil uptrend stronger than USO |
| VIX | 68 | DOMINANT | UP — vol expansion accelerating |
| USO | 60.4 | DOMINANT | UP — recovered from 03/19 crack |
| DXY | 50 | MODERATE | UP — above 40 HARD gate for metals |
| SQQQ (inverse QQQ) | 138 | EXTREME DOMINANT | UP — confirms QQQ downtrend is the strongest directional signal in equities |
| QQQ | -33 | REVERSED | Prior uptrend DEAD. Dominant downtrend. |
| MAGS | -31.2 | REVERSED | MAG7 downtrend dominant. |
| XLK | -30 | REVERSED | Tech sector formally in downtrend. |
| GLD | -23 | REVERSED | Gold trend dead. DXY HARD gate active. |
| SPY | -9.5 | REVERSED | Equity uptrend reversed. |
| SPX | -5 | REVERSED | S&P uptrend reversed. |
| HYG | 5 | TREND DEATH | Credit floor gone. |
The inverse QQQ ETF at range 138 is the single strongest trend reading across all tracked assets. For context, SQQQ's range is higher than TNX (96.3) and XLE (88.8). This means the tech sector downtrend is structurally the most powerful directional signal in the entire market right now — stronger than the energy uptrend, stronger than the yield uptrend. Any proposed bullish tech thesis requires 4+ convergence inputs to justify trading against a range-138 dominant trend.
| Timeframe | SPX Close / Ref | EM | 1σ Lower | 2σ Lower | Current vs 1σ Lower |
|---|---|---|---|---|---|
| Daily (03/23) | 6,506.48 | ±82.38 | 6,414 | 6,322 | 1.4% above |
| Weekly (03/23-27) | 6,506.48 | ±199 | 6,314 | 6,121 | 3.0% above |
| Monthly (March) | 6,878.88* | ±322 | 6,557 | 6,235 | BELOW 1σ lower by 0.77% |
| Quarterly (Q1) | 6,845.50* | ±1,333 | — | 5,871 | — |
* Monthly and quarterly reference the opening price for the period. SPY monthly 1σ lower: $654.24. Current SPY $648.57 = also below monthly 1σ lower. SPY quarterly 1σ lower: $633.99 — only $14.58 (2.2%) away.
SPX has already breached its monthly 1σ lower bound (6,557) and is trading at 6,506. This means on the monthly timeframe, the market has moved more than one standard deviation from its March opening — territory that should only happen ~16% of the time. SPY at $648.57 is also below its monthly 1σ lower of $654.24.
The quarterly 1σ lower for SPY is $633.99 — which aligns closely with the weekly 1σ lower of $629.52. That $630-634 zone is where three timeframes converge as a support boundary. If reached, it's a meaningful level.
The skew crash is not an isolated data point — it's a regime change in market structure that compounds with everything else we're tracking:
The mechanical bounce engine is broken. Here's why that matters in context:
1. Skew crashed → Vanna support absent → bounces will be shallow and sellable
2. VIX range 68 (DOMINANT uptrend) → vol is expanding, not compressing → no Vanna unwind trigger
3. $25.8B put delta expired on quad witching → dealer delta flipped from long to short → but the "floor" this creates is a MECHANICAL floor (gamma hedging), not a STRUCTURAL floor (Vanna + conviction)
4. SPX net gamma deeply negative → dealers amplify moves in both directions
5. HYG trend DEATH (range 5) → credit is no longer providing a floor
6. Sentiment at 9.5 → EXTREME FEAR, which is contrarian-bullish for a TACTICAL bounce, but not structural
From the 03/20 GEX data (post-OpEx positioning):
| Strike | GEX | Significance |
|---|---|---|
| $660 | +0.904 | LARGEST positive GEX — magnetic pull level, dealer floor |
| $659 | +0.660 | Secondary positive — cluster above creates resistance band |
| $655 | -0.492 | Negative GEX — accelerant below this level |
| $652 | +0.157 | Minor positive — weak support |
| $650 | -0.157 | Negative — bearish accelerant if breached |
| $649 | -0.337 | Large negative — sells accelerate hard below |
| $645 | -0.468 | LARGEST negative GEX — catastrophic accelerant |
| $640 | +0.187 | Minor positive — first real support below the cliff |
| $634-639 | +0.058 to +0.068 | Positive cluster — bounce zone if 645 is lost |
| $630 | +0.048 | Deep support level |
| $620 | +0.052 | Structural support — large positive GEX |
| $610 | +0.042 | Deep GEX support |
| $585 | -0.102 | Far OTM negative — crash accelerant |
| $575 | -0.057 | Far OTM negative — cascade zone |
SPY closed 03/20 at $648.57. That puts it BELOW the 660 positive GEX magnet and sitting right between the 649 and 650 negative GEX zone. The 645 strike at -0.468 is the cliff edge — if SPY trades below 645, dealer hedging will accelerate the selloff into the 634-640 zone.
Normally, when a market dips into negative gamma territory, a vol drop triggers Vanna buying that creates a snap-back. This is the "bounce from oversold" mechanics that traders rely on. With skew crashed to 0.38, this mechanism is severely weakened.
What you're left with is pure gamma mechanics — dealer hedging at the GEX levels above — without the Vanna tailwind. The practical difference: bounces will be choppy, grinding, and easily reversed rather than sharp and V-shaped.
| Asset | Weekly Close | Weekly EM | Upper | Lower | 2σ Upper | 2σ Lower |
|---|---|---|---|---|---|---|
| SPX | 6,506 | ±199 | 6,699 | 6,314 | 6,892 | 6,121 |
| SPY | $648.57 | ±19.05 | $667.62 | $629.52 | N/A | N/A |
| QQQ | $581.17 | ±18.10 | $596.50 | $563.07 | N/A | N/A |
| IWM | $233.22 | ±10.20 | $242.22 | $222.72 | N/A | N/A |
| RUT | 2,438.45 | ±95.08 | 2,533.53 | 2,343.37 | N/A | N/A |
| NDX | 23,988 | ±751 | 24,550 | 23,147 | N/A | 22,396 |
| Asset | Close vs Zone | Downside Room | Upside Room | Range | Interpretation |
|---|---|---|---|---|---|
| SPX | Near LOW | -0.63% | 5.47% | -5 | REVERSED. Uptrend dead. |
| VIX | Upper half | -23.60% | 10.72% | 68 | DOMINANT uptrend. Vol expanding. |
| DXY | Mid-zone | -1.10% | 1.15% | 50 | MODERATE uptrend. Holding. |
| HYG | Near LOW | -0.25% | 1.89% | 5 | TREND DEATH. Credit fragile. |
| TLT | Below mid | -0.89% | 3.72% | 13 | Weak downtrend. No safe haven. |
| TNX | Near HIGH | -5.85% | 0.82% | 96.3 | DOMINANT uptrend. Yields ripping. |
The week is shaped by three forces pulling in different directions. The skew thesis tells you which one wins:
+$7B of dealer LONG delta (ceiling) expired on quad witching 03/20. Dealers now shift to SHORT delta at Mar 24+ expirations, meaning they BUY dips instead of selling rips. This is mechanically supportive — it creates a gamma floor. The April 17 put wall becomes the new gravitational center.
The skew thesis from Parts 1-4 says any bounce will lack the Vanna-fueled snap that characterized every dip recovery since 2023. Bounces will be slower, shallower, and more vulnerable to reversal. Expect grind, not V-shape.
TNX range 98.3 (yields ripping), /CL range 85 (oil dominant uptrend), VIX range 68 (vol expanding), SQQQ range 138 (tech downtrend is the single strongest directional signal in the market), SPX below 200DMA 5+ sessions, HYG trend death, sentiment at 9.5 EXTREME, 6 consecutive beat-and-sell earnings.
First full session with the new dealer positioning (short delta = floor). Expect some early strength as the OpEx hangover clears and short-delta dealers provide mechanical support. Target zone: SPY 652-658. The 660 GEX magnet (+0.904) acts as resistance — this is the level where the mechanical floor from dealer hedging meets the structural weakness from no Vanna.
Watch for: Does VIX pull back on the bounce attempt? If yes but SPX barely lifts, that's the skew thesis confirming in real-time — vol compressing without generating the Vanna buying it used to.
If Monday's bounce reached 655-660, Tuesday tests whether it holds. In a high-skew regime, this would stick and build. In the current low-skew regime, institutions will use any lift as an exit opportunity — exactly the "any bounce = sell zone" Phase 2 playbook from the rolling tracker. Distribution quality will be visible in afternoon sessions.
Key tell: If SPY reaches 660 and immediately gets sold back below 655, the week's high is likely in. HYG behavior here is critical — if credit doesn't rally alongside equities, the bounce is hollow.
By mid-week, the post-OpEx mechanical support has been consumed by the structural sellers. Without Vanna to sustain the bounce, the market begins to lean lower again. This is where the grinding decline resumes — SPY drifting from 655 area back toward 645-648.
If geopolitical headlines are negative (Hormuz escalation, oil spike), this accelerates into Thursday. The 645 GEX cliff (-0.468) becomes the key level. A close below 645 activates the negative gamma cascade.
End-of-week positioning. If 645 held through Thursday, expect a flat-to-slightly-lower close near 645-650. If 645 broke, the 634-640 GEX support zone becomes the target, with SPX potentially touching the weekly 1σ lower at 6,314.
SPY 643-660 range for the week. Peaks early, fades late. Weekly close: SPY 645-652 area (SPX ~6,450-6,520). Pattern: choppy, grinding, exhausting for both bulls and bears. No clean directional move. The skew crash means the bounce lacks follow-through and the decline lacks the accelerant of high Vanna feeding on itself.
SPX 6,100-6,350. If SPY loses 645, the negative GEX cluster at 645/649/650 creates a dealer cascade. With no Vanna to arrest the fall, the selloff accelerates into the 634-620 support zone. A credit event (HYG breaking $78.93) or geopolitical escalation triggers this path. SPX tests the weekly 1σ lower at 6,314. Multi-timeframe convergence at $630-634 SPY (weekly 1σ + quarterly 1σ) would be the landing zone.
SPX 6,600-6,700. Requires: geopolitical de-escalation headline, oil crack, AND sentiment extremes triggering forced short covering simultaneously. Even in this scenario, the skew data tells you the bounce will be grinding (not V-shaped) and will NOT sustain into the following week. The Phase 2 playbook applies: any bounce toward 665-670 SPY is a sell zone.
| Signal | What It Means | Actionable |
|---|---|---|
| Skew stays flat / continues lower | Vanna absent. No mechanical bounce engine. Market makers have minimal wing exposure. | Sell rips. Don't trust bounces. Phase 2 holds. |
| Skew begins rebuilding (rising from 0.38) | New put positions being built at lower strikes. MMs accumulating short skew at the new level. | Bounce potential building. Watch for vol compression as trigger. |
| VIX drops but SPX doesn't bounce | MOST DANGEROUS SIGNAL. Confirms Vanna support is broken. Vol normalizing without the mechanical bid it used to create. | Full confirmation of skew thesis. Selloffs resume with no rescue. Stay short or flat. |
| VIX drops AND SPX bounces sharply | Either residual Vanna power or new directional flow overriding structure. | Reduces bearish conviction. Verify: is it headline-driven or mechanical? Check if skew is rebuilding. |
| HYG breaks $78.93 | Credit event. Dealer cascade in high-yield. Liquidity withdrawal. | Cascade scenario activated. Size down. Defined-risk only. |
| Oil cracks below $90 (sustained) | The Silva chain: oil breaks → rates ease → DXY softens → metals HARD gate opens → risk regime shifts. | This is the leading indicator for the ENTIRE bearish regime easing. Most important single variable. |
The skew crash is not a standalone signal — it's a structural change in how the market can respond to oversold conditions. It removes the most powerful bounce mechanism (Vanna unwind) at exactly the moment when everything else is also saying "no bounce":
✕ Skew crashed to 0.3809 (Vanna bounce engine broken)
✕ VIX range 68 — DOMINANT uptrend, staircase pattern (vol not compressing)
✕ SQQQ range 138 — tech downtrend is the strongest directional signal in the market
✕ /CL range 85, USO range 60.4 — oil DOMINANT uptrend
✕ TNX range 96.3-98.3 — yields dominant, accelerating
✕ HYG range 5 — credit floor gone (TREND DEATH)
✕ SPX below 200DMA 5+ sessions (+2 bearish convergence)
✕ SPX already below monthly 1σ lower (6,557)
✕ Earnings regime bearish (6 consecutive beat-and-sell)
✕ $25.8B put delta expired (hedging support removed)
✕ 345 of 455 WL1 names bearish on 03/20
✕ Sentiment at 9.5 EXTREME (contrarian-bullish for TACTICAL bounce only)
✓ Post-OpEx dealer short delta (mechanical floor — supports Mon-Tue bounce attempt)
✓ ISM 52.4 expansion (real economy still growing — structural floor exists somewhere)
✓ Multi-timeframe support convergence at $630-634 SPY
12 bearish vs 3 supportive inputs. But the skew crash changes the character of the bearishness. This is no longer a market that will crash in a straight line (that requires high vol + high skew to feed on itself). This is a market that grinds lower with weak bounces that trap bulls. The skew crash tells you the rhythm of the decline — slow, grinding, with headfakes that don't sustain.
For position management: any bounce toward 660 SPY is an exit/add-to-shorts opportunity, not a buy-the-dip signal. The Vanna engine that would have powered a genuine recovery has been mechanically disabled by the market's own move lower.
This is the forward question neither the VolSignals thread nor the PDF fully addressed, but it's the most important one for position management.
Skew rebuilds when market makers accumulate new short put exposure at the current 25-delta strike. This happens through the same risk reversal mechanism that built the original skew — institutional customers putting on new hedges at the new price level. For that to happen:
1. Price needs to consolidate — the market has to stop falling long enough for the new 25-delta strike to become meaningful. If price keeps falling, the 25-delta strike keeps moving with it and no MM inventory builds up at any one level.
2. Institutions need to hedge at the new level — pension funds, endowments, and hedge funds who sold their hedges into the crash (or had them expire) need to put on NEW risk reversals at current prices. This typically takes 1-3 weeks of consolidation.
3. Open interest needs to accumulate — you can track this through options OI at strikes near the current 25-delta point. When you see significant put OI building at strikes 5-8% below current price (the rough 25-delta zone), that's the MM accumulating short skew again.
Historically, skew rebuilding after a crash of this magnitude takes 1-3 weeks of sideways consolidation. The April 2025 crash saw skew collapse, consolidate for about 2 weeks, then begin rebuilding — and the recovery rally began roughly when skew started rising again. That's not a coincidence. It's the same mechanism: new risk reversals → new MM short skew → new Vanna exposure → vol compression triggers the buyback → bounce.
The practical implication: even if the market finds a floor this week (say at the $630-634 multi-timeframe convergence zone), don't expect a V-recovery. Expect 1-3 weeks of choppy, rangebound trading while skew rebuilds. The signal that the bounce engine is coming back online is skew rising from 0.38 while price is flat or slightly higher. That would mean new hedges are being built, new Vanna is accumulating, and the market is reloading its spring.
April 17 is the next major monthly OpEx. The current post-OpEx dealer short delta (floor) is calibrated to the April expiry. As we approach mid-April, new put OI will naturally accumulate at strikes near the 25-delta point for April expiry. This is the most likely catalyst for skew rebuilding — it's when the market structurally builds new hedge positions for the next cycle.
So the rough timeline is: grinding weakness through late March → consolidation in early April → skew begins rebuilding as April OpEx approaches → first real bounce potential in the April 7-14 window. This is consistent with the tracker's Phase 2 → Phase 3 transition timeline.
Watch the 1M 25/25 delta risk reversal (the same metric from the Bloomberg chart). When it stops falling and begins to rise from the 0.38 area — that's your signal that the market structure is healing. Until then, every bounce is suspect.