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Strategies & Market Trends : General market lab and commentary
SPY 679.68+0.7%Nov 26 4:00 PM EST
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To: Robohogs who wrote (211)2/27/2016 11:23:51 PM
From: Robohogs   of 668
 
118 skew is now extreme low and has ben for 5-8 years. Pre-2010, it was extreme high. Funny how a better sense of tail risk changed things.

Low skew generally means folks not extreme at buying puts. Which is actually supportive of up moves. Low stress. Not contrary indicator. Weird.

Using last few minutes to do work, these levels largely function of vix levels. Low vix has high center with steeply collapsing curve while high vix has lower peak and broader curve and hence higher priced wings. Higher skew. Vix coing in hard here so lower skew.
Jon
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