Documentation

Skew-Aware DCS

Strategy 5 — Skew-Aware DCS (DCS_SKEW)

Current Mode: DRY-RUN (comparison only) — SDCS_DRY_RUN = True. Runs in parallel with DCS so both signals can be compared side-by-side. No real orders placed. To go live, set SDCS_DRY_RUN = False.

What makes it different from DCS

DCS_SKEW is identical to DCS except for one step: instead of always using a symmetric wing offset, it reads the implied volatility at the base-wing OTM strikes and checks whether the put side or call side shows a dominant skew. If it does, one wing is tightened and the other is widened to align capital concentration with where the market expects risk.

DCS — Symmetric Wings

ce_wing = adaptive_pct × 1SD

pe_wing = adaptive_pct × 1SD

⟹ OTM tent: symmetric around ATM

DCS_SKEW — Asymmetric Wings

ce_wing = 45% or 60% of 1SD

pe_wing = 60% or 45% of 1SD

⟹ OTM tent: tilted toward risk side

Skew Detection Logic

put_skew = OTM PE IV (at base_wing strike) − near ATM IV

call_skew = OTM CE IV (at base_wing strike) − near ATM IV

if put_skew > call_skew + 2.0 IV pts → CE wing = 45% 1SD, PE wing = 60% 1SD (wider downside tent)

if call_skew > put_skew + 2.0 IV pts → CE wing = 60% 1SD, PE wing = 45% 1SD (wider upside tent)

else (balanced skew) → both = adaptive_wing_pct × 1SD (same as DCS)

Interactive Skew Wing Calculator

Adjust OTM IV inputs to see how skew shifts the wings. Orange = DCS_SKEW asymmetric tent. Purple = DCS symmetric baseline.

ATM Strike Near ATM IV % Near DTE Lot Size

OTM PE IV % (put skew) OTM CE IV % (call skew)

Put Skew

—

OTM PE IV − ATM IV

Call Skew

—

OTM CE IV − ATM IV

Decision

—

1SD = — pts Base wing = — pts CE wing = — pts PE wing = — pts CE strike = — PE strike = —

Spot at expiry: 24550

DCS (symmetric) P&L

₹0

DCS_SKEW (asymmetric) P&L

₹0

Approximated at expiry using intrinsic value. Actual P&L depends on IV and theta during holding period.

8-Leg Structure with Asymmetric Wings

Same as DCS except OTM wing strikes differ between CE and PE side when skew is dominant:

SELL

ATM CE Near

ATM weekly

SELL

ATM PE Near

ATM weekly

BUY

ATM CE Far

ATM monthly

BUY

ATM PE Far

ATM monthly

SELL

OTM CE Near

ATM + ce_wing

SELL

OTM PE Near

ATM − pe_wing

BUY

OTM CE Far

ATM + ce_wing

BUY

OTM PE Far

ATM − pe_wing

Entry Filters

Filter	Config	Note
DTE range	`DCS_MIN_DTE=7` to `DCS_MAX_DTE=10`	Inherited from DCS
IV range	`DC_MIN_IV=15%`, `DC_MAX_IV=25%`	Shared with DC and DCS
Far−Near IV gap	`DC_MAX_IV_SPREAD=5%`	Shared with DC and DCS
Min straddle premium	`DC_MIN_NEAR_STRADDLE=80pts`	Shared with DC and DCS
Realized range	`DCS_REALIZED_RANGE_MAX_PCT=0.80`	Inherited — shares same threshold as DCS
Position limit	`SDCS_MAX_CONCURRENT=1`	Single position only during comparison phase
Skew check	`DCS_SKEW_THRESHOLD=2.0` IV pts	If skew gap < threshold → symmetric wings (same as DCS)
Re-entry guard	(same-day ATM dedup)	Prevents stacking at same spot level on same day

Comparison mode DCS and DCS_SKEW run simultaneously in dry-run. Each scan cycle may produce both a DCS signal and a DCS_SKEW signal (or either alone). Comparing the two position histories over multiple weeks reveals whether the skew adjustment improves or hurts the outcome given real option chain skew.