A more complex indicator that measures the likelihood of a correction. Again, there are no guarantees in the market, but the likelihood is high here for some weakness!
The CBOE SKEW Index ("SKEW") is an index derived from the price of S&P 500 tail risk. Similar to VIX®, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options. SKEW typically ranges from 100 to 150. A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above
100, the left tail of the S&P 500 distribution acquires more weight, and the probabilities of outlier returns become more significant.
So stay tuned. and we'll keep updating when we can.
Thanks!
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