Shaken, not stirred (yet)

Monetizing hedges

On February 3 we asked ourselves rhetorically Will this market get skewed? The rise in SPX and the rise in skew had become extreme. Since then the SPX has fallen hard, and we are seeing the first signs of the crowd monetizing hedges (skew is coming down). Note skew up or down doesn't predict market direction itself, nor is it the "true fear" index so many refer it to.