Who is right, big money betting on a crash, or hedge funds capitulating to the melt-up?
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.
Monthly Skew versus VIX
We know one thing, no risk is priced in:
ZH: China Bracing For North Korea "Emergency"
Korean Kospi just hit a new all time high:
Since 2001, Commerce's first of three readings on first-quarter gross domestic product undershot forecasts by up to 50 basis points on seven occasions. U.S. benchmark West Texas Intermediate crude traded lower five trading days after these releases 100 percent of the time
The median return for WTI over those seven instances was a negative 6.14 percent.
Today's close below the trend-line, not shown. Yet.