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IV Skew Update.

  • Written by Syndicated Publisher 2 Comments2 Comments Comments
    July 26, 2011

    I continue to study the IV skew and wanted to share a few interesting charts showing how well it correlates with the SPX. I prefer to view the skew relative to the vix (referred to as divergence throughout this post) as it appears far more correlated to the SPX versus on its own.

    For those new to the IV Skew, please read here. Below are three charts of interest.

    2007 Divergence VS SPX

    Current Market Divergence VS SPX (I highlighted a green box which based on past correlations would imply selling pressure the coming week).

    2007 Topping Pattern Comparison to Current Market (I posted this previously in case you missed it). I was pretty amazed at the similarities).

    Shared From And Read More Here

    IV Skew Update | Macro Story.

    Republished under Licence.

    Image: Flickr (licence details)