professional investors have been busily buying crash protection(carefully masking their buying by managing ‘normal’ risk measure like VIX through endless nefarious cash, ETF, and Futures manipulation). But now, a week after ‘Black Swan’ bets soared ahead of the central-plan-destroying Brexit vote, the real ‘fear’ index has spiked to unprecedentedly high levels.
With VIX flip-flopping to and fro at the whim of every fast money trader…
Deep out of the money, and ‘Black Swan’ bets have been building…
“It’s a black swan type of put,” said Steve Sosnick of Timber Hill LLC. “It’s very possible there will be an extreme result, and people like to have insurance against a low-probability, high-outcome event.”
Smashing the SKEW Index – the real ‘Fear Index’ to 11 on the Spinal Tap amplifier of historical financial crises…
As a reminder, Skew measures the perceived tail risk of the market via the pricing of out-of-the-money options. Generally, a rise in skew indicates that ‘crash protection’ is in demand among institutional investors(institutional/professional investors are the biggest traders in SPX options).
