When the Skew index rises its an indicator of fear within the stock markets. Usually when the Skew hits $150 or higher investors should be very leary on what is to come. I fear a steep decline is coming very soon. Skew Index is a must in anyones watchlist right next to the VIX. Hope this finds you well.
There's a disparity and an underlying bullish accumulation towards otm puts vs calls. Spread wise you can see call premium vs put premium making more sense to sell upside calls vs downside put spreads.this could be a reflection of earnings but could lead to a outsized distribution. Ie a volatility spike
Skew is the difference in spx iv of equal Delta. like call Delta 30 iv minus put Delta 30 iv. It shows how the oi chain is balanced and underlying psychology. Current rating of 132 I would deem caution. One of the things I look for when playing bearish is a rising skew but falling vvix. Rising skew= odds of an outstated move increase. Falling vvix premium of...
skew (demand for otm puts in spx) has been slumbering, lingering in the background, but growing. from hitting its all time high prior to december meltdown. we're beginning to see the slumbering giant grow meaning the downside weight of spx puts is growing (can see in OI chain). from a vix point of view we may be in contango (futures curve) but we've learned the...
SKEW Index has trended up with the market, reflecting rising demand for tail risk hedging
we havent seen any kind of capitulation till SKEW/VIX hits a sub 4.00 level. Check 5 days correlation
Something big coming next hours. People is not hedged for a big drop. So Airpockets due to low depth/amplitude and liquidity
Institutional investors keep buying protection while the Joe Six Pack investor keeps neglecting fat tail risks.....thats what this chart tells you
SKEW Index above 140 is a warning signal but when it's diverging from the VIX ....watch your 6 if you are long equities
One to keep an eye on... Particularly given S&P variance has been so low lately.
Widening in June. Narrowing end of June (spx goes up)
What you think about Skew? is it usable ? or correct? I tryed to use for this Chart in S&P500 Here the Vidio for using the Skew ( Black Swan Index) www.youtube.com www.youtube.com
>130+ BEST Environment to trade volatility
The SKEW Index is a measure of tail risk - volatility measured from unexpected moves that fall outside 2 standard deviations. It has been erratic as of late, and day-to-day changes are likely more a liquidity reaction. Much more important is the general trend of the indicator. The 20-day (1 month), 50-day, 100-day average for the risk metric is just off its...
One of our readers pointed out to us last week that the recent strong rise in the so-called CBOE SKEW index should also be counted among the various divergences that make the stock market's current advance suspect. Skew measures the perceived tail risk of the market via the pricing of out-of-the-money options. Generally, a rise in skew indicates that 'crash...