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more on option premium skew
Decline and Fall of Western Civilization —
following on earlier comments -- jason goepfert with a review of credit suisse's index measuring skew. CSFB created a new index that compares the premiums in calls versus puts, digging a layer deeper than the VIX does. When the index was first unveiled, its movements didn't make a lot of sense when compared to the VIX, but recently an article on Bloomberg highlighted one potential use for it - identifying times when the VIX is masking underlying sentiment. We're seeing that now. There have been four other times during a bear ...
Battle of the Network Fear Indices
Daily Options Report —
... As we well know, VIX is not the only measure of Fear in town. CSFB has one too, based on the skew of the SPX options board. Can we glean anything when the two tell different stories? Jason Goepfert suggests yes. ...
Tuesday links: a stock is just a stock
Abnormal Returns —
... Despite a drop in the VIX, option traders are still betting on a market fall. (Sentiment’s Edge also ...
Vix vs Vix Challenger
FT Alphaville —
... inversely to the Vix. While the Vix was not designed to measure investor ‘fear’, it remains the standard gauge of market nervousness, measuring 30-day expectations of volatility. In contrast, the Credit Suisse barometer, or CSFB, attempts to quantify ‘fear’ by measuring the degree to which demand for downside and upside insurance is skewed. If investors want to pay more for downside protection relative to upside, the CSFB will be higher. If CSFB is low, insurance is cheap. Anyway, Sentiment’s Edge have noticed something interesting: while the Vix is at a six-month low, the ...
