Measures the perceived tail risk of the S&P 500 distribution. When SKEW rises but VIX stays low, the market is calm on the surface but buying insurance underneath.
The SKEW index measures the third moment (skewness) of the S&P 500's risk-neutral return distribution. A reading of 100 means normal; above 130 signals significant perceived tail risk.
VIX measures overall volatility level. SKEW measures asymmetry — how much more the market fears crashes vs rallies. Elevated SKEW + low VIX = hidden fear.
Sustained readings above 130 have historically preceded market drawdowns. Watch for divergence from SPX — rising SKEW + rising SPX is the classic warning signal.
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