I'm currently trying to mimic the distribution curves of the market-bets.
Using VIX, which tells me what the current standard deviation is from the current price in all the 30 days at the money option, the CBOE SKEW captures how skewed the distribution curve is (via out of the money options). This curve has always been skewed since 1987 when people realized during the flash crash that the market had a higher risk to the downside than the upside. In other words, an elevated SKEW value means that many people are currently subscribing to downside insurance.
Can I use the CBOE SKEW indicator in WL8 and if so, how?
Using VIX, which tells me what the current standard deviation is from the current price in all the 30 days at the money option, the CBOE SKEW captures how skewed the distribution curve is (via out of the money options). This curve has always been skewed since 1987 when people realized during the flash crash that the market had a higher risk to the downside than the upside. In other words, an elevated SKEW value means that many people are currently subscribing to downside insurance.
Can I use the CBOE SKEW indicator in WL8 and if so, how?
Rename
Although the CBOE provider doesn't include SKEW currently, you can still get the data using the Yahoo provider. Their symbol is ^SKEW: https://finance.yahoo.com/quote/%5ESKEW/history/
Tagged as #FeatureRequest for next build of DataExtensions.
SKEW has been added to DataExtensions B21.
Your Response
Post
Edit Post
Login is required