{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T03:31:05Z","timestamp":1793417465951,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>&lt;p&gt;An equity volatility surface rebuilt from free public data has a level and a shape. An earlier study tested the level, trading the variance risk premium at the money; this paper tests the shape: the term structure across expiries and the skew across strikes. Free data reaches the two very unequally, and that is the finding. The term-structure slope, VIX3M minus VIX, has a long history, so its carry can be backtested. Gating a short-volatility position to contango beyond one volatility point lifts its Sharpe ratio across a pre-registered development and hold-out split, from 1.73 to 2.94 over the full sample, and cuts the hold-out drawdown by about 73 percent, by standing aside on the stress days: COVID in 2020, February 2018, August 2024. The gain sits in those few episodes, so the pre-registered t-statistic on the daily difference is 1.31, under the committed 2; the term structure buys tail protection, and no daily edge survives the test. The skew has no such history. The CBOE SKEW index shows the premium is present throughout, but a tradable 25-delta risk reversal needs a record of the surface's wings that free data never built: on the one stored cross-section the wings are quotable, so the binding limit is the missing time series. Every traded figure is an upper bound, and the design was committed publicly before any result was seen.&lt;\/p&gt;\n&lt;div&gt;\n &lt;br&gt;\n&lt;\/div&gt;<\/jats:p>","DOI":"10.2139\/ssrn.7670046","type":"posted-content","created":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T03:09:57Z","timestamp":1793416197000},"source":"Crossref","is-referenced-by-count":0,"title":["The Shape of a Public-Data Volatility Surface: Term-Structure Carry, and the Limits of Measuring Skew"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-4042-2514","authenticated-orcid":true,"given":"Yasanji","family":"Ratnaike","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T03:09:57Z","timestamp":1793416197000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7670046"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7670046","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}