​Uncia’s Julien Messias: A Cornelian Dilemma: “Moneyness Skew” vs “Delta Skew”?

Usually, volatility practitioners like to split their 3D volatility surface into two 2D charts. The first one is called Term Structure, whose aim is to plot At-The-Money or At-The-Money-Forward volatility for given maturities. The second one is called the Skew, that stands for the Skewness of the Implied Distribution of S&P500 returns that can be extracted from listed option prices through Breeden-Litzenberger formula. The more liquid the underlying, the more relevant the information.