CBOE SKEW Black Swan Index (^SKEW) Live Data, Formula & Analysis

Macro Economic Definition & Formula

The CBOE SKEW Index measures perceived tail risk (Black Swan events) by tracking the pricing of deep out-of-the-money S&P 500 put options.

Formula: Implied volatility differential between Out-of-the-Money (OTM) S&P 500 Put options and At-the-Money (ATM) options

Key Indicator Specifications Table

Indicator ParameterValue / Specification
Indicator NameCBOE SKEW Black Swan Index
Ticker Symbol^SKEW
Normal Baseline Range115.0 - 135.0
Unit of MeasureIndex Points
Authoritative SourceCBOE Global Markets

Authoritative Data Source Citation

When institutional investors pay hefty premiums for crash protection, SKEW spikes above 140-150, reflecting high tail-risk hedging.

Source: CBOE Global Markets (https://www.cboe.com)

Market Impact & Historical Context

SKEW readings above 145 caution that institutional funds are heavily insured against sudden catastrophic drawdowns.

SKEW exceeded 150 prior to several notable market corrections in 2021 and 2024.

sentiment^SKEW

CBOE SKEW Black Swan Index

Latest Value110.5
+2.1%

The CBOE SKEW Index measures perceived tail risk (Black Swan events) by tracking the pricing of deep out-of-the-money S&P 500 put options.

NORMAL BASELINE RANGE115.0 - 135.0
UNIT OF MEASUREIndex Points
AUTHORITATIVE DATA SOURCECBOE Global Markets

Historical Trend & Macro Shading

Formula & Calculation Mechanism

Implied volatility differential between Out-of-the-Money (OTM) S&P 500 Put options and At-the-Money (ATM) options

When institutional investors pay hefty premiums for crash protection, SKEW spikes above 140-150, reflecting high tail-risk hedging.

Market Impact on US Equities & S&P 500

SKEW readings above 145 caution that institutional funds are heavily insured against sudden catastrophic drawdowns.

Historical Precedents & Bull/Bear Regimes

SKEW exceeded 150 prior to several notable market corrections in 2021 and 2024.

Frequently Asked Questions (FAQs)

Q:What does the CBOE SKEW Index measure?

SKEW measures tail risk — the probability of outlier 2-to-3 standard deviation crash events in the S&P 500 over the next 30 days.

Q:What is the difference between VIX and SKEW?

VIX measures expected 30-day at-the-money volatility (general market fluctuation), while SKEW measures the pricing of extreme out-of-the-money tail-risk put options (market crash hedging).

Related Macro Indicators

^VIX

CBOE Volatility Index (VIX)

Range: 12.0 - 20.0PCC

CBOE Equity Put/Call Ratio

Range: 0.60 - 0.95^MOVE

ICE BofA MOVE Bond Volatility

Range: 85.0 - 125.0^GSPC-PIVOT

S&P 500 Technical Support & Resistance

Range: Key Support / Resistance