A risk reversal (an "RR") is two options that lean the same way: you sell a put below the price and use the premium to buy a call above it. For little or no net cost you get upside if the stock rises — but you've agreed to buy the stock (and eat the fall) if it drops to your put strike. It's a synthetic long-ish position with a volatility-skew tilt: you're selling the expensive downside insurance that other people want, to fund the upside you want.
What it really costs
The "cheap" part is the catch. Options traders call the price gap between downside puts and upside calls the skew — puts are usually pricier because crash insurance is in demand. Selling that put means you're short the crash: in calm markets the RR feels free, and in a sharp sell-off it behaves like a leveraged long that got assigned at the worst time. Defined on the upside, painful and open-ended-ish on the downside.
Why there's no strategy or track record here
Same rule as every raw option structure: there's no listed fund that rolls a risk reversal with a real, total-return NAV, so any backtest would be a fabricated option-chain simulation — and we don't publish those (see the methodology). This is an explainer, not a product. The short-volatility idea behind it — getting paid to bear downside risk — is available, via real funds, in PutWrite Income and Wheel Income.
Educational material — not investment advice.