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    Volatility Reports 6/18/21

    June 18, 2021

June 18, 2021

Volatility Reports 6/18/21

If you are not paying attention to Volatility Reports, you might be SKEWED.

SKEW is similar to the VIX index, but instead of measuring implied volatility based on a normal distribution, it measures an implied risk of future returns, realizing outlier behavior. The index model defines an outlier as two or more standard deviations below the mean, characterizing a black swan event or market crash. The index value typically reflects the trading activity of portfolio managers hedging tail risk with options to protect portfolios from a large, sudden decline in the market. A SKEW value of 100 indicates the options market perceives a low risk of outlier returns; values increasing above 100 reflect an increased risk perception for future outlier event(s).

The featured chart shows that the SKEW data viewed through the %BB-Oscillator is at historical highs. A reading that the big boys with their ear to the ground hear the train coming. They expect an event and a large and or prolonged negative reaction to the event. It may be a black swan; it may be something so overlooked that no one believed it pushed the market over the trend following the cliff.

According to the MarketMap-2021 cycles, that change is changing the trend from sideways to down, and a final peak in the NASDAQ 100.

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