Black-Swan Hedges Are the Cheapest Since 2016
- CBOE’s option skew suggests speculators crowding out hedgers
- Phenomenon may show ‘higher chance’ for large upside move: MRA
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The cost of hedging against tail risks in U.S. stocks has plummeted, suggesting bulls are back after the goriest month since 2011.
Implied volatility for put options on the S&P 500 Index is sinking relative to call contracts, sending the CBOE SKEW Index -- which purports to measure expectations of a tail event -- to its lowest in more than two years.