I was listening to a podcast over the weekend, and they mentioned the SKEW index published by the CBOE. Details here.

https://www.cboe.com/us/indices/dashboard/skew/

Roughly speaking it’s a measure of whether the longer dated out of the money options are realatively cheap or dear, when compared to the nearer dated contracts. So sort of a VIX+, or a VIX with a extra time dimension.

The CBOE doesn’t always offer free historical data, but in this case they did. So I decided to plot the price of SKEW against the spiders just for kicks. One might hope that a if people are willing to pay dear for out month insurance, in a ‘wisdom of crowds’ sort of way that might be an indicator for future downside moves.

It’s a pretty naive look, but I don’t see a lot there. After big down moves, SKEW does seem to bottom out when the index is itself starting to put in a bottom. But both happen close enough, almost simultaneously, that if you think you can pick one you should be able to pick the other. But that might be worth some investigation. SKEW is pretty jumpy as well, it might be worth taking a trailing average instead of the daily ‘spot.’