SKEW is similar to the
VIXindex, but instead of measuring
implied volatilitybased on a
normal distribution, it measures an
implied risk of future returns realizing
outlierbehavior. The index model defines such an outlier as two
or more
standard deviationsbelow the mean,
which would characterize a
black swanevent or
market crash.
[2]The index value typically reflects trading activity of
portfolio managers hedging tail risk with options, to protect
portfolios from a large, sudden decline in the market.
[3]A SKEW value of 100 indicates the options market perceives a
low risk of outlier returns; values increasing above 100 reflect an
increased perception of risk for future outlier event(s).
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Skew Index 50sma is getting
Posted by elliotw on 23rd of Aug 2020 at 12:11 am
Skew Index 50sma is getting elevated with a large increase in the daily value on Friday.
The attached graph is from TOS. Note the height of the Skew 50 sma in Feb and June 2020
Skew Definition:
SKEWis the ticker symbolfor the CBOE Skew Index, a measure of the perceived tail riskof the distribution of S&P 500 investment returnsover a 30-day horizon. [1] The index values are calculated and published by the Chicago Board Options Exchange(CBOE) based on current S&P 500 optionsmarket data.
SKEW is similar to the VIXindex, but instead of measuring implied volatilitybased on a normal distribution, it measures an implied risk of future returns realizing outlierbehavior. The index model defines such an outlier as two or more standard deviationsbelow the mean, which would characterize a black swanevent or market crash. [2] The index value typically reflects trading activity of portfolio managers hedging tail risk with options, to protect portfolios from a large, sudden decline in the market. [3] A SKEW value of 100 indicates the options market perceives a low risk of outlier returns; values increasing above 100 reflect an increased perception of risk for future outlier event(s).