CBOE Skew Index

Discussion in 'Options' started by BellWeather, Mar 17, 2014.

  1. Doobs789

    Doobs789

  2. bootize

    bootize

    Yes... was surprised by Friday's low reading... then suddenly today up to new highs. Couldn't find the reason for Fridays drop when looking through the chains. Was surprised that there was suddenly very little tail risk through the weekend.
     
  3. sle

    sle

    The way the index is constructed it depicts "low" skew when the ATM vol (or variance) is high, so with VIX coming off today, the skew index appears richer. The skew is a very complex beast and it's pretty hard to represent consistently. Nothing to see here, move along.