More Costly Protection Seen in S&P 500 Options: Chart of the Day
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Investors are paying up for protection against a drop in U.S. stocks as they never have before, judging by the performance of an option-based indicator.
The CHART OF THE DAY displays the Chicago Board Options Exchange’s SKEW Index, calculated from the cost of bearish put options on the Standard & Poor’s 500 Index relative to bullish call contracts. The SKEW is typically between 100 and 150, and higher numbers show a greater perceived risk of a market drop. The S&P 500 is also shown in the chart for reference.