SKEW Has Moderated Somewhat, But Remains ElevatedMarch 19, 2015
By Economy in
While the CBOE SKEW Index has fallen back somewhat from highs last fall (see our comment here), it remains quite elevated– both relative to history and on an absolute basis. Indeed, the further the index rises above 100, the higher the probability of ‘outlier returns’. For a full description of the indicator’s profile, see here. In spite of the rise in the SKEW, the VIX remains relatively subdued and the S&P continues to chug along.