What Is “Skew Risk” in the Context of Maintaining a Delta-Neutral Portfolio?

Skew risk, in this context, is the risk that the implied volatility curve (the volatility skew) changes, causing the theoretical values of the options in the Delta-neutral portfolio to change unevenly. A change in the skew can alter the individual Deltas of the options, pushing the portfolio's total Delta away from zero, thereby requiring re-hedging and incurring unexpected costs or losses.