Option-implied tail asymmetry and bank mortgage pricing during monetary tightening

Do equity option markets reveal how banks price household credit? I combine 2018–2025 HMDA mortgages with bank equity-option surfaces and measure tail asymmetry as 25-delta put–call skew orthogonalized to at-the-money volatility. Among non-money-center listed banks, higher pre-period asymmetry predicts 20–23 basis points higher conforming-mortgage rates during the 2022–2024 restrictive-rate episode, about $330 in additional first-year mortgage payments per affected borrower. The relation is predictive, not causal: the pre-period is not perfectly flat, and the imprecise 2025 estimate is consistent with fading as rates stabilize. It is concentrated on loans not reported sold within the origination year and economically small on sold loans. A pre-COVID historical localization check supports earlier-period localization, not a second regime test. International CDS evidence independently corroborates the signal’s fragility content. The contribution is the loan-level household-credit pricing link, not the signal.