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The vol surface is pretty flat around the 80 strike so skew is not really playing a role here (for an ATM option there would be a skew effect, where IV mechanically drops as spot increases, because you roll up the vol surface in strike space)
BUT the negative skew (puts > calls) implies a negative relationship between price and vol, i.e. all else equal you expect vol to drop when price rises, just like with stocks. So a 1.2% vol drop on a $1 price rise is not crazy at all
Hence the question -- if I buy OTM calls and spot moves up $2, how much money have I lost? :)
That's it for this round of #learninginpublic, now @volmagorov can explain all the ways I screwed it up.
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