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swan event

29 Jul 2014

SKEW highest since 1998, risk is elevated in equities

by hedgopia | posted in: Derivatives, Equities | 0

The Chicago Board Options Exchange has been publishing values for the CBOE S&P 500 Skew Index since February 2011.  The index seeks to measure the perceived risk of extreme negative moves in U.S. equity markets – the so-called tail risk.  … Continued

CBOE, implied volatility, ISE, put-to-call ratio, SKEW, swan event, tail risk, vix

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