Introduction to CBOE SKEW Index ("SKEW")
The crash of October 1987 sensitized investors to the potential for stock market crashes and forever changed their view of S&P 500 returns. Investors now realize that S&P 500 tail risk - the risk of outlier returns two or more standard deviations below the mean - is significantly greater than under a lognormal distribution. The CBOE SKEW Index ("SKEW") is an index derived from the price of S&P 500 tail risk...SKEW typically ranges from 100 to 150
Oil held tight today, again on heavy distribution volume, even as the OPEC "deal" continued to unravel...