{"id":4690,"date":"2020-05-08T12:20:44","date_gmt":"2020-05-08T12:20:44","guid":{"rendered":"http:\/\/joapen.com\/blog\/?p=4690"},"modified":"2020-05-08T12:20:45","modified_gmt":"2020-05-08T12:20:45","slug":"cboe-skew-index-skew","status":"publish","type":"post","link":"https:\/\/joapen.com\/blog\/2020\/05\/08\/cboe-skew-index-skew\/","title":{"rendered":"Cboe SKEW Index (&#8220;SKEW&#8221;)"},"content":{"rendered":"<h1>Introduction to SKEW Index<\/h1>\n<p>The Cboe SKEW Index (&#8220;SKEW&#8221;) is an index derived from the price of S&amp;P 500 tail risk. It&#8217;s similar to Volatility Index (VIX).<\/p>\n<p>The primary difference between the VIX and the SKEW is that the VIX is based upon implied volatility round the\u00a0at-the-money\u00a0(ATM) strike price\u00a0while the SKEW considers implied volatility of\u00a0out-of-the-money\u00a0(OTM) strikes.<\/p>\n<p>SKEW typically ranges from 100 to 150.<\/p>\n<ul>\n<li>The higher the rating, the higher the perceived tail risk and chance of a black swan event.<\/li>\n<li>A SKEW rating of 100 means the perceived distribution of S&amp;P 500 returns is normal and, therefore, the probability of an outlier return is small.<\/li>\n<\/ul>\n<p><a href=\"http:\/\/joapen.com\/blog\/2020\/05\/08\/cboe-skew-index-skew\/monthly-skew\/\" rel=\"attachment wp-att-4691\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter size-large wp-image-4691\" src=\"http:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW-1024x433.jpg\" alt=\"\" width=\"584\" height=\"247\" srcset=\"https:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW-1024x433.jpg 1024w, https:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW-300x127.jpg 300w, https:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW-768x324.jpg 768w, https:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW-1536x649.jpg 1536w, https:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW-500x211.jpg 500w, https:\/\/joapen.com\/blog\/wp-content\/uploads\/2020\/05\/monthly-SKEW.jpg 1773w\" sizes=\"auto, (max-width: 584px) 100vw, 584px\" \/><\/a><\/p>\n<h1>Other concepts (for my poor memory)<\/h1>\n<p><strong><span style=\"text-decoration: underline;\">Out of the Money (OTM)<\/span><\/strong>\u00a0is an expression used to describe an option contract that only contains intrinsic value. These options will have a delta of less than 50.0.<\/p>\n<p><span style=\"text-decoration: underline;\"><strong>At the money (ATM)<\/strong><\/span> is a situation where an option&#8217;s\u00a0strike price\u00a0is identical to the price of the\u00a0underlying security.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Introduction to SKEW Index The Cboe SKEW Index (&#8220;SKEW&#8221;) is an index derived from the price of S&amp;P 500 tail risk. It&#8217;s similar to Volatility Index (VIX). The primary difference between the VIX and the SKEW is that the VIX is based upon implied volatility round the\u00a0at-the-money\u00a0(ATM) strike price\u00a0while the SKEW considers implied volatility of\u00a0out-of-the-money\u00a0(OTM) &#8230; <a title=\"Cboe SKEW Index (&#8220;SKEW&#8221;)\" class=\"read-more\" href=\"https:\/\/joapen.com\/blog\/2020\/05\/08\/cboe-skew-index-skew\/\" aria-label=\"Read more about Cboe SKEW Index (&#8220;SKEW&#8221;)\">Read more<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[105],"tags":[],"class_list":["post-4690","post","type-post","status-publish","format-standard","hentry","category-trading"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.3 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Cboe SKEW Index (&quot;SKEW&quot;) -<\/title>\n<meta name=\"description\" content=\"Introduction to SKEW Index The Cboe SKEW Index (&quot;SKEW&quot;) is an index derived from the price of S&amp;P 500 tail risk. 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