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I'm watching a video where hedge fund manager Cem Karsan describes the basics of his strategy as a "skew swap". I understand that he's buying/selling index options at different maturities to draw a yield from the term structure of skew, but I can't find any info on what a "skew swap" actually is, i.e. what options make up this strategy. Did he make it up or is it something well known?

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    $\begingroup$ Watched the first few minutes of the video. My understanding is that the HF manager, as you say, tries to capture the skew term structure premium. Unfortunately, but understandably, he does not go into more detail regarding skew swaps. Besides the distinction between skew and skewness, there are many other intricacies to the concept of 'skew', and everyone probably has their own right or wrong concept of skew. A good place to start reading about skew is maybe ivolatility.com/doc/JOD-MIXON_(2011)_+_Appendix.pdf $\endgroup$
    – user34971
    Sep 1, 2021 at 7:11

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