The Chicago Board Options Exchange (CBOE) will start publishing values for the CBOE S&P 500 Skew Index from February 23. The index will join the CBOE Volatility Index (VIX) in measuring the market’s expectation of stock market risk based on S&P 500 options prices. The VIX captures the market’s expectation of daily S&P 500 returns over a 30-day time period. SKEW values are calculated from weighted strips of out-of-the-money S&P 500 options.
Click here for the release from PR Newswire.