Why is there a Volatility Skew?

Volatility Skew is the difference in Implied Volatility between OTM Call Options and OTM put Options which are equidistant from the ATM Options. In other words, it tells you how Implied Volatility varies across the strikes in an Option Chain. This time we figure out the reasons for Volatility Skew in Options Chain. Do let us know what you think in comments.

Also, see the vol skew in NSE F&O segment stocks here — NSE Option Chain by Sensibull

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