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Nations SkewDex Index Fact Sheet
Nations SkewDex Index Fact Sheet
Nations SkewDex Index Fact Sheet
SkewDex ®
Indexes
SDEX
Option skew is not a measure of fear or implied volatility. It’s a measure
of how much risk market participants are willing to bear, that is how far
investors are willing to let markets fall before hedges offer protection.
Nations SkewDex
S&P 500 5000
85
4000
SkewDex®
S&P 500
70 3000
2000
55
1000
40 0
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022
pare the implied volatility of at-the-money options to that of put options Moneyness is calculated logi-
cally based on the current vola-
struck one standard deviation out-of-the-money, they gauge a market’s
tility environment rather than by
willingness to accept a one standard deviation loss and can be fairly
using stale historical data.
compared to the SkewDex Indexes for other equity assets and measure
Since time to expiration and
the amount of risk participants in different markets are willing to bear. moneyness are standardized,
Nations SkewDex Indexes can
be compared to those of other
The Nations Large Cap SkewDex Index compares the implied volatility
equity assets without regard to
of a SPDR® S&P 500 (SPY) option that is precisely at-the-money with
the number of strike prices
precisely 30 days to expiration to the cost of a SPY put option that is listed, increments between
precisely one standard deviation out-of-the-money with precisely 30 strike prices, expiration, etc.
days to expiration. SkewDex tells market participants how much more SkewDex is calculated and
expensive out-of-the-money options are in relation to at-the-money op- disseminated during the trading
day allowing traders and inves-
tions and thus, how risk averse investors are.
tors to recognize intra-day
changes in market dynamics.