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skewness

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VIX: INTERMARKET | Vix vs Skew & Ratio Spread
407 0 2
VIX, D
INTERMARKET | Vix vs Skew & Ratio Spread

Another chart to keep in mind given skew has decoupled from the VIX!

PrometheusAM PrometheusAM PRO SKEW/VIX, D,
SKEW/VIX: INTERMARKET | Skew/Vix vs SP1!
155 0 3
SKEW/VIX, D
INTERMARKET | Skew/Vix vs SP1!

One to keep an eye on... Particularly given S&P variance has been so low lately.

timwest timwest PRO SPY, D, Long
SPY: S&P500 SPY YEAR-END OPTIONS GRAPHED
2227 29 36
SPY, D Long
S&P500 SPY YEAR-END OPTIONS GRAPHED

With the S&P500 ($SPY) at 215.04 last as of Friday, October 7, 2016, you can see the price of various options. I started at 215 which is "at the money" and the prices above that are the call options, since those are "out of the money". I made the call options green, since they are for upside price action. I then graphed the put options prices from 215 and down ...

SKEW: Black Swan Risk Canary, CBOE Skew Index
1792 23 21
SKEW, D
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 ...

Zentoro Zentoro DCY0, D, Short
DCY0: Cross Ladder Quantitative Analysis Example
93 0 0
DCY0, D Short
Cross Ladder Quantitative Analysis Example

Using the Harmonic Mean (Pythagorean Means), we focus on "three values" using the Cross Ladder Problem by drawing the geometric shape - vectored R/S points. These values are taken from the harmonic mean of "B" "A" "h". The calculation inputs are Log Normal, Exponential, and Skewness. (Arithmetic mean gives higher data points that will error your weight); ...

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