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Is Low Volatility about to get SKEWered?

July 13, 2017

Let’s first review the definition of the SKEW index.

 

The CBOE Skew Index- referred as “SKEW”- is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500® lndex returns at a 30-day horizon. Tail risk is the risk associated with an increase in the probability of outlier returns, returns two or more standard deviations below the mean.