Abstract
This paper provides a comprehensive analysis of realized skewness trading, using analytical models, simulations, and empirical evidence. We highlight the importance of matching swap rates and realized measures in variance and skewness trading. A novel approach is introduced, employing swaps tied to the second and third moments of log returns over a future period. Our findings reveal that mismatches arise primarily from realized measures rather than from stable swap rates. We further propose that short‐term (e.g., 1 month) skewness swaps, based on daily returns, could serve as effective tools for managing realized jump risks.