Every strike on a chain has its own implied volatility. Plot them and you get a curve that is almost never flat and almost never symmetric: the smile. On an index it leans one way by habit — downside protection costs more than upside — and the reading that matters is not the lean itself but the level against that habit.
Why the axis is moneyness, not strike
Each expiration prices off its own forward, so a 30-day slice sits at different absolute strikes than today. Plotted on strikes the curves shear sideways and the skew becomes unreadable. Plotted on log-moneyness — how far a strike is from the money, in percent — every expiration at-the-money point sits at zero and the shapes can be compared directly.
The risk reversal is one point on this curve
The 25-delta risk reversal — the call wing against the put wing at 25 delta — is a single, useful summary. It compresses the whole curve into one number, and it is worth watching precisely because it is quick. But it cannot tell you whether the put wing got expensive or the call wing got cheap, and those are different sessions.
What to look for on a 0DTE slice
- A steep put wing with a flat call wing: the market is paying for downside and shrugging at upside.
- Both wings lifting together: an event premium, not a directional view.
- A front slice much steeper than the next expiration: the fear is dated, and it expires tonight.
The asymmetry is a feature, not a data problem
Far out-of-the-money calls stop quoting long before the puts do, so a 0DTE curve is routinely wider on the downside than the upside. Comparing wings at a symmetric width that the data does not cover means inventing one of them. Read the wings at the width the chain actually supports, and treat a narrow band as a chain that is not telling you much today.
Used this way the smile is context for the GEX map rather than a competing signal: it says how much the market is paying for the move that would break the wall you are watching.