Cost of Protecting Against Market Swings Is at Its Highest Ever

While the CBOE Volatility Index declined last week, the cost of protecting against large market swings has surpassed a peak hit following the Brexit vote, reaching a fresh all-time high. With the Federal Reserve raising borrowing costs and the political environment remaining uncertain, the CBOE SKEW Index climbed for five straight days, its longest streak since June 2016. The last time the gauge of out-of-the money S&P 500 Index options prices was as high relative to the volatility gauge, the VIX surged 65 percent in the next month.

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