August 25, 2017 | Daily JAM, Morning Briefing |
These two risk indexes, the VIX and the SKEW, are showing very different views of the market with a SKEW that rose near record highs last week indicating fear of a low-probability event that would send the market down 10% or more. Meanwhile a low VIX is signaling complacency.
April 26, 2017 | Daily JAM, Morning Briefing |
On one level the U.S. stock market makes perfect sense. The Standard & Poor’s 500 stock index is up 6.64% for 2017 and as you’d expect volatility has tumbled with the CBOE S&P 500 Volatility Index down 22.72% for the year. But another volatility index the CBOE SKEW Index is up 7.5% for 2017. How can two volatility indexes be giving such different pictures of the level of fear, nervousness, and expected volatility in the S&P 500?