Using Monte Carlo simulations to run skew trading (such as selling RR) for expected returns will unexpectedly capture the Skew spread completely on average. In Monte Carlo simulations, the implied volatility of the underlying asset remains unchanged, resulting in a correlation coefficient of 0 between the price movement of the underlying asset and implied volatility, with the volatility of volatility also being 0, and the realized value of Vanna risk being 0. Selling Skew captures the implied value of Vanna, and if the realized value from the Monte Carlo simulation is 0, then it is indeed a great victory. However, the actual situation is far from this.