Logo Background RSS


Skew Divergence Update.

  • Written by Syndicated Publisher 385 Comments385 Comments Comments
    September 27, 2011

    Once again we see divergence between the SPX and the implied volatility skew. In other words Monday’s rally did not quite pass the “smell test.” In fact in really stunk.

    IV Skew VS SPX

    Notice the divergence once again which does not support Monday’s rally. One data point is not enough to completely throw water on the “rally” but we have seen this before and it has resulted in the SPX correcting. Something to keep an eye on. Additionally with markets up so much the VIX at such elevated levels should have been down more than 5% on Monday.

    Skew Vix Divergence VS SPX

    Similar to the skew we have a divergence once again. Additionally the skew vix divergence put in a new low signaling its trend should continue lower further pressuring the SPX.

    Images: Flickr (licence attribution)

    About the Author

    Macro Story is designed as a one stop source for all of your macro related news and data.  From credit markets to economic data to geopolitics, you will find it all in a simple and organized fashion.  Content is presented in a format that allows you to read as little or as much as prefered.  Whether your goal is to do advanced research, a simple market overview or to become educated on macro subjects, the site has been designed with you in mind.

    Below are a few highlights to help you get started.

    “Macro View,” updated weekly is an in depth review of current macro news & data and future trends.

    Five key market indicators are updated daily on the home page with an expanded view.  Indicators include the S&P 500, 10 Year Treasury, US Dollar, Copper and Oil.

    All economic data including historical charts are located under “Macro Data.”  No need to search multiple sources to find what you need.  It’s all here.

    An expanded education section and glossary of terms to increase your knowledge base.

    Search content by key words, date or subject title.