The perennial favorite in put protection, SPY is being challenged by tail risk upstart QQQ. The ORATS measurement of skew has been falling in SPY recently and rising in QQQ to where the two measurements are almost equal.

Skew measures the relationship between put and call implied volatility explained HERE.  As options investors buy puts the implied volatility and the skew increases. This appears to be happening in the QQQs of late more than in SPY.

Download an explanation about skew and ORATS data HERE

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