Market Events
Thursday, December 20th 2018
NDX Skew Surpasses SPX - Nasdaq 100 Put Buying Continues
NDX Skew Surpasses SPX - Nasdaq 100 Put Buying Continues
Summary
Investors are buying puts in the NDX, leading to a steepening of NDX skew, which measures the difference in low strike puts implied volatility vs high strike calls implied volatility. This is in contrast to the SPX, where investors usually buy puts to protect their portfolio. The NDX skew has surpassed the SPX skew, a trend not seen since May.
Investors are buying puts in the NDX and pushing up the skew. Skew measures the difference in low strike puts implied volatility vs high strike calls implied volatility.
Investors usually buy puts in SPX to protect their portfolio. Recently, it has been the NDX that has evidenced the largest amount of put buying, and resultant steepening of NDX skew.
Not since May have we seen the NDX skew eclipse SPX.
The steepest NDX has been all year is on 2/9/2018 during the VIX fueled, stock market debacle. The flattest the skew has been was on 1/29/2018 just before the February turbulence.
Prior to February, the SPX skew was higher than NDX most of the year shown in the graph.
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