Wednesday, April 26, 2017

Bets On A Crash: Record High

Out of the money option bets on a crash are the highest since the last crash...

"Since an increase in perceived tail risk increases the relative demand for low strike puts, increases in SKEW also correspond to an overall steepening of the curve of implied volatilities, familiar to option traders as the "skew"."

Option skew 12 week moving average:

Circled is December 2015 the last FedPlosion:

The divergence between the out-of-the-money skew (crash bets) and the near-the-money VIX (hedging) is the highest since the last fall in Oil in 2014:

Energy (red) with Skew/VIX ratio:

Money (Out) flow confirms

Breadth confirms

Northern Trust


Coal (stocks)


Consumer Staples with % bullish (red)

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