Very cool video.

Here is some more on implied skew
https://www.ise.com/assets/files/FX%20Options/ExpiringMonthly_-_Trading_With_or_Against_the_Skew_0410.pdf

Actual code examples though I think would suffer from a data problem. Historic option and short interest data just isn't as available to give such an example.

Actually, I'm not sure that paper above is exactly what is being talked about in the video.
This one is for sure though:
Implied Volatility Skews in the Foreign Exchange Market
Empirical Evidence from JPY and GBP: 1997-2002
https://www.stern.nyu.edu/sites/default/files/assets/documents/uat_024336.pdf

not a coder,
not a quant,

and yet learned a lot from the webinar.
TY

PS.:
love Kahneman