jschembs Posted December 20, 2013 Share Posted December 20, 2013 Does anyone follow the CBOE's SKEW index? From CBOE's 2011 white paper: "Similar to VIX, SKEW is calculated from the price of a tradable portfolio of out of the money S&P 500 options. This portfolio constitutes an exposure to the skewness of S&P 500 returns and its price encapsulates how the market prices tail risk...The probability of a return two standard deviations below the mean gradually increases from 2.3% to 14.45% as SKEW increases from 100 to 145." Going back to 1990, previous peaks occurred in June 1990, October 1998, and March 2006. Currently nearing a multi-year high approaching 140. I don't buy into the bubbles everywhere view of the world, but there certainly is some ridiculously priced sh*t (social media, SAAS, big data, 3D printing) that could see some 2+ sigma drops (on highly volatile assets) and still not be "cheap" according to more traditional metrics. Link to comment Share on other sites More sharing options...
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