Black Swan Risk Canary, CBOE Skew Index


Similar to VIX             , the price of S&P 500             tail risk is calculated from the prices of S&P 500             out-of-the-money options. SKEW typically ranges from 100 to 150. A SKEW value of 100 means that the perceived distribution of S&P 500             log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above 100, the left tail of the S&P 500             distribution acquires more weight, and the probabilities of outlier returns become more significant. One can estimate these probabilities from the value of SKEW. Since an increase in perceived tail risk increases the relative demand for low strike puts, increases in SKEW also correspond to an overall steepening of the curve of implied volatilities, familiar to option traders as the skew.
Interesting along with your approximation of NH/NL. Have been looking lately to find a reference charting of NYSE A/D OCO Advance to Decline ratio of Operating Companies Only in the NYSE which gives a truer picture that a/d alone (filters out various funds and instruments that are not stocks). Seems like possible market decline clues could be valuable now with prices in ridiculous zone considering not backed by sales, production, employment or consumer spending.

SKEW/VIX at the bottom of range, rally soon.
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Look how the gaps and candlestick patterns are much more pronounced when comparing Skew/Vix vs SPX
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WallStScalper QuantitativeExhaustion
How du U interpreted the chat with Skew and Vix making patterns all over the place ? (Last grey box?)
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WallStScalper WallStScalper
WallStScalper WallStScalper
A signal of market being indecisive?
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Looks similar to end of June, but even much more uncertainty. If we see something gap up or green above previous candle high, I'd say stick trend higher. If opposite then we have a top and a reversal is on it's way.
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WallStScalper QuantitativeExhaustion
Yes I agree! It seems like skew and vix together are more volatile at top of a runs than at the bottom....
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That makes sense.
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