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 highest level on records going back to 1990. In other words, the market ranks are very concerned about the future.
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 highest level on records going back to 1990. In other words, the market ranks are very concerned about the future.