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.

 

Download an explanation about skew and ORATS data HERE

Watch a video about skew here: API analyze skew in ETFs: http://screencast-o-matic.com/watch/cD1UoCittf

Watch these other videos: Option Markets and Analytics https://screencast-o-matic.com/watch/cblUoE2Wgu

API QuickStart: http://screencast-o-matic.com/watch/cDnVFDhMKq

API historical data: http://screencast-o-matic.com/watch/cDiOraiCP8

 

Download our Excel API access worksheet here https://api.orats.com/downloads/excel

Sign up for a key with a 30-day money back guarantee here https://orats.com/subscribe (choose retail or pro).

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