Feb 8, 2011

CBOE SKEW Index, Part 1

Part 2 of the SKEW post is available here, part 3 here.

Finally! CBOE had SKEW page up for years, and yesterday they announced that they will start publishing the data. Note that SKEW index is not 100 * Implied skew (like VIX), but rather 100-10*Implied skew.

White paper, FAQ, and time series in Excel are now available from CBOE website.

EDIT: The dataset is missing 9/20/2000 to 9/29/2000 and a few other random days for some reason.
EDIT: Here is a combined dataset of SPX, VIX, and SKEW indexes. Missing days are left as blanks. Data from CBOE and Yahoo! Finance.

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