Apparently, this index is updated daily. Is there any intraday index or indicator that would provide a similar measure of the tail skew on a real time basis?
I have tinkered with using Interactive Brokers' API data stream to Excel to calculate skew for underlying assets. I can only envision it operating on a point-in-time basis however as it will be a manual refresh. It would be nice if there was something that allows data visualization streaming in real-time though... Sounds like our efforts are related. CBOE may have a data-for-pay service for the $SKEW index intraday.