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Implied Volatility Skew Update.

  • Written by Syndicated Publisher No Comments Comments
    August 16, 2011

    The overall trend in equities still remains lower as indicated by the implied volatility skew while the current move within that trend is confirmed by the skew vix divergence.

    Overall Trend

    As stated in prior posts the skew and or vix divergence is not efficient at day to day market direction but the trend has proven to be very reliable. As shown below the implied volatility skew clearly remains in a downtrend and based on historical correlations the overall SPX trend remains lower as well.

    Intermediate Trend

    The recent turn higher in the skew vix divergence does confirm the recent move higher in the SPX although the size of the move is questionable. Again this is a counter trend move within an overall downtrending market.

    From

    Implied Volatility Skew Updated Charts- Macro Story.

    Images: Flickr (licence)

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