Cboe SKEW Index
The Cboe SKEW Index measures the perceived tail risk of the S&P 500 from the prices of out-of-the-money SPX options. It is defined as 100 − 10 × S, where S is the risk-neutral skewness of 30-day S&P 500 log returns, so a value of 100 corresponds to a symmetric distribution and higher values to a heavier left tail.
Senzoukria · Glossary · Updated September 2026
At a glance
- Definition
- SKEW = 100 − 10 × S
- S
- Risk-neutral skewness of 30-day S&P 500 log returns, priced from SPX options
- Range 1990–2010 (Cboe)
- From 101 to 147
Definition
Cboe's white paper defines S as the market price of the skewness of 30-day S&P 500 log returns, computed from a portfolio of out-of-the-money SPX options that mimics an exposure to skewness. Because S is usually negative and varies within a narrow range, Cboe transforms it linearly: SKEW = 100 − 10 × S. A value of 100 means the options imply no skewness; each unit of negative skewness adds 10 points. With S = −2, SKEW = 120.
How it differs from the VIX
The VIX measures the width of the expected return distribution, a standard deviation. SKEW measures its asymmetry: how much more probability the options market places on large declines than a normal distribution would. Cboe's paper notes a low correlation between variations in SKEW and in the VIX. A calm market with a low VIX can still show a high SKEW if tail protection is in demand.
| Index | Measures | Built from |
|---|---|---|
| VIX | 30-day expected volatility (width) | Out-of-the-money SPX and SPXW options |
| SKEW | 30-day risk-neutral skewness (asymmetry) | Out-of-the-money SPX options |
Reading it
- Over 1990 to 2010, Cboe reports a minimum of 101 and a maximum of 147, with most values between about 110 and 125.
- A rising SKEW says out-of-the-money puts are gaining relative to the rest of the smile; it is a price of insurance, not a forecast of a crash.
- Because it is risk-neutral, it mixes the probability of a tail event with the premium investors pay to insure against it.
- It is an index-level measure; the skew of a specific expiry or underlying can behave differently.
In Senzoukria
Senzoukria does not display the SKEW Index. For the underlying loaded in its GEX module, it shows the 25-delta skew of the front expiries, put implied volatility minus call implied volatility, with a session history recorded once a minute and a rank against the points observed in the session, explicitly not a historical percentile. The IV Smile panel adds a ±5% fixed-moneyness wing skew for the selected expiry.
Related
In the same section
- Protective put
- Central limit order book
- Cash-settled options
- CFTC and NFA
- Cash-and-carry trade
- Charm
- Cash settlement
- Chart template
Sources
- Cboe — The Cboe SKEW Index white paper (2026-09-25)
This page in other languages
Frequently asked questions
- Does a high SKEW predict a market crash?
- No established evidence shows that. A high SKEW means tail protection is expensive relative to the rest of the smile. Markets have spent long periods with elevated SKEW without a crash, and crashes have started from ordinary SKEW levels.
- Why is the SKEW Index scaled as 100 − 10 × S?
- Because raw skewness is a small negative number that varies in a narrow band, which is inconvenient as an index. The linear transformation turns it into a positive number around 100 to 150 that rises as the left tail gets heavier.