A measure of vol skew which is used is dsigma/dk or dc/dk. You first need to build arbitrage free volatility curve for that. Rr and fly are just used to get the pillar points and only in fx. The IR market directly gives pillar points I.e sigma(k). I would suggest you read Gatheral book if you want to know in detail of volatility surface construction,
sn9791
- 51
- 1