We recreated the CBOE SKEW index visualisation

What is the SKEW index?

The CBOE SKEW index measures the perceived tail risk of the S&P 500 distribution. While VIX measures the overall level of implied volatility, SKEW focuses on the asymmetry — how much more expensive OTM puts are relative to OTM calls.

Reading the SKEW

A SKEW of 100 means a normal distribution — no perceived tail risk. Above 130 means the market is paying a significant premium for downside protection. Historically, elevated SKEW readings have preceded market drawdowns.

The interactive version

Our Quadesto rebuild lets you overlay SKEW with the S&P 500, VIX, and credit spreads to see how tail risk signals relate to actual market outcomes.