TASAVANT
做空

Skew Index Rises Sharply

INDEX:SKEW   CBOE Skew Index
26 0 0
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 protection' is in demand among institutional investors (institutional/professional investors are the biggest traders in SPX             options). The basic idea is similar to the CSFB 'fear index' or the Ansbacher index (which compares the premiums paid on equidistant calls and puts).

A unusual move in the skew index (which historically oscillates approximately between a value of 100 and 150) is especially interesting when it diverges strongly from the VIX             , which measures at the money and close to the money front month SPX             option premiums.

Basically what a 'low VIX/high skew' combination is saying is: 'the market overall is complacent, but big investors perceive far more tail risk than usually' (it is exactly the other way around when the VIX             is high and SKEW is low). In other words, a surprising increase in realized volatility may not be too far away. Below is a chart showing the current SKEW/VIX combination. http://www.zerohedge.com/news/2013-10-28/spx-options-skew-vs-vix
简体
United States
United Kingdom
India
Deutschland
France
España
Italia
Polska
Türkiye
Россия
Brasil
Indonesia
Malaysia
Việt Nam
日本
한국
繁體
首页 股票筛选器 外汇信号搜索器 加密货币信号搜索器 财经日历 如何运作 图表功能 网站规则 版主 网站 & 经纪商解决方案 组件 图表库 功能请求 博客 & 新闻 常见问题 帮助 & 维基 Twitter
个人资料 个人资料设置 账号和账单 My Support Tickets 优先服务 联系支持 已发表观点 粉丝 正在关注 私人消息 聊天 退出