Lehman Brother Guide to Volatility Skew:

The variation of the Black volatilities with respect to option strikes, known as the volatility
skew, represents an intriguing and problematic aspect of the volatility market. However, due
to its inherent complexity, the matter has not received sufficient coverage. This article
expounds on various aspects of skewed volatilities, including market conventions, historical
observations, supply and demand mechanisms, the necessity for integrated approaches,
mathematical models, and effects on complex products.