Skew index has been on the rise. Many refer to it as the "real fear" index, but that is wrong. Rising skew has very little to do with crashing equities. Skew rising is just pointing out the fact downside protection is rising on a relative basis. Given the fact the melt up has been rather brutal, skew "becomes bid automatically" as we "move along the vol curve".
Skew index has been on the rise. Many refer to it as the "real fear" index, but that is wrong. Rising skew has very little to do with crashing equities. Skew rising is just pointing out the fact downside protection is rising on a relative basis. Given the fact the melt up has been rather brutal, skew "becomes bid automatically" as we "move along the vol curve".