Tail-Risk Hedges Jump With Nine-Day Volatility Before Fed: ChartBy
With the Federal Reserve expected to raise interest rates on Wednesday, investors are paying up to protect against large market fluctuations. The CBOE SKEW Index tracking prices of out-of-the money S&P 500 Index options has rallied 11 percent in March, reaching a level close to the almost seven-month high hit in January. At the same time, a gauge measuring bets for equity swings in the next nine days has jumped to a six-week high versus the CBOE Volatility Index.
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