If you track the CBOE:SKEW index, it reveals when put options on the S&P500 ( AMEX:SPY , FX:SPX500 ) are at high levels relative to calls. Sometimes that means there is a big event ahead and the market participants are buying "insurance" against a sharp drop in the market over the life of the options contracts. So, I think it is important to track CBOE:SKEW ...
The SKEW index is a measure of potential risk in financial markets. Much like the VIX index, the SKEW index can be a proxy for investor sentiment and volatility. The Skew Index measures perceived tail-risk in the S&P 500. SKEW values generally range from 100 to 150 where the higher the rating, the higher the perceived tail risk and chance of a black swan event....
I put together a chart that shows the Skew Index, with the SPX, VIX, advancing-declining issues, and Put/Call Ratio.
The Summer rally continued this week on the back of strong earnings by Disney ($DIS) and the market interpreting CPI data as inflation cooling. However, I think the market internals are telling a more important story. This week, the market paced by the financials... on Thursday, the XLF tested the upper edge of its weekly expected move and ultimately broke...
This week's action was largely defined by two dynamics: Employment data, and sector rotation. After initially selling off on Friday after the Employment data drop, the market reversed course and rallied much of the day before ultimately finishing slightly down on the session. Despite trade being predominantly sideways in an 80 point range, the market extended...
Despite numerous mentions about the CBOE SKEW Index, we are no where near the 2018/2019 lows (which are the lowest readings on file for the past decade). Understanding how SKEW Index works, it's relationship to Vol Structures, and impact towards Gamma & Vega and how/what it implies by way of Institutional Hedging is another tool for the pros. Do your DD (due...
covid crash in march 2020 The key takeaway here is that despite SPX bouncing back after each sell off, the vix remains a hair trigger away from causing more damage. GEX is hovering around gamma zero but every time a move is made higher, an equal move back down follows shortly after. MOEX is going to have to open sooner or later, could be counter party...
SKEW is probably a little less known in the world of volatility than for example the VIX, but essentially it is a measure of the implied volatility of OUT of the money options, as opposed to AT the money options on the market like the VIX. I suppose it may be a better comparison to check SKEW vs the SPY, but I'm a NASDAQ guy so I wanted to have a look at this in...
Traded really well yesterday, my longs which were underwater went green around the gamma -/+ flip zone. I'm building a stronger position into JAN as we likely will continue to base around the 20D MA and burn stops maybe as low as 4602 would be my guess. The reason I was so bullish yesterday was because of growing evidence that VIX would compress into the EOY...
My early warning indicator can offer warning signals well in advance of market turbulence. It can also help on the long side by giving confirmational signals when in agreement with a trend. It recently had a negative cross and is enough for me to raise an eyebrow and err on the side of caution. There are times when a signal crosses negative only to return...
Idea for Stocks: The Lotka–Volterra model makes a number of assumptions, not necessarily realizable in nature, about the environment and evolution of the predator and prey populations: 1. The prey population finds ample food at all times. 2. The food supply of the predator population depends entirely on the size of the prey population. 3. The rate of change of...
I trade almost entirely using options, shares are typically only there to hedge Greeks or if a stock has a terrific opportunity to sell covered calls. When you are trading in options you need to understand that while technical analysis and fundamental analysis are still important, what is usually most important is how the options chain looks-- what is the Implied...
Either i am getting this indicator wrong, or do not know how to use it or it is just risky like realy risky to use it alone to say the least. wish you all the best.
Like last year the pro's buying protection while Joe Six Pack is selling vol on his Robin Hood account. You can't time when the real volatility kicks in but the signs are there. Would a Biden win be priced in and what would happen to markets when he wins? I would not be surprised that we would see at least a 50% correction when that happens. Time will tell watch...
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I want to point out two things in this post: 1. The elevated implied volatility before earnings on blue chips stocks is per se a risk factor due to high call open interest and the following reduction in implied volatility post earnings. 2. The SKEW index is signaling increasing tail risk. The first point: As I’ve pointed out in recent posts, high open...
SKEW above 130, currently at 144 indicating that big money is heavily hedged to the downside. 10 day MA PC Ratio is well below .75 which tells me that a majority of investors are long. Spy looks like its touches the backend of the top yellow line while also tightening up its giant ascending triangle. VIX is about to hit bottom of bollinger bands that have almost...
Working out Volatility Skew Option Strategy for trading the indices.