Cboe SKEW Index

What is the Cboe SKEW Index?

The Cboe SKEW Index measures the standardized third moment, or skewness, of the option-implied 30-day S&P 500 log-return distribution. It turns that skewness coefficient into an index through SKEW = 100 − 10 × S, so a reading of 100 means zero skewness and higher readings mean more negative skewness: a longer left tail in the distribution that SPX option prices imply.

VIX summarizes the volatility level. SKEW adds a measure of asymmetry. Read the pair, then inspect the option chain to see how the pricing differs across strikes.

What do SKEW Index readings mean?

At SKEW 100, implied skewness is zero. At 135, it is −3.5. At 145, it is −4.5. Every ten-point rise in the index corresponds to a one-unit fall in the skewness coefficient.

A move from 135 to 145 means the left tail grew heavier in option prices, one more unit of negative skewness. To price that in a trade, compare the implied volatility and premiums of the actual puts and calls at a shared expiration.

How traders use the SKEW Index

Start with matching expirations and a consistent strike convention. A 25-delta put and 25-delta call give one defined comparison of the two wings: put IV minus call IV, tracked the same way each day, shows whether downside protection is getting richer or cheaper.

Then compare the structures. A purchased put adds downside protection at its entry premium. A put spread finances part of that purchase by selling a lower-strike put and defines the payoff between the strikes. A collar combines stock, a purchased put and a written call. Price every leg to see the resulting floor, cap and net premium.

Inspect activity in the chosen expiration with options flow, then compare entry cost and expiration outcomes at the downside levels in the plan with the options profit calculator.

Limitations of the Cboe SKEW Index

• Read SKEW with VIX. SKEW prices the shape of the distribution and VIX prices its width, so a high SKEW beside a low VIX means low option prices overall with extra weight on the crash tail.
• Time the trade from the price chart and the plan. A high reading means option prices put extra weight on a left-tail drop, and a put spread sells back a lower-strike put to cut the cost of that protection.
• Convert the level before using it. SKEW 135 is a skewness coefficient of −3.5; to turn that shape into dollars, price the puts at the strikes you plan to trade.
• Read your own chain for a single stock, another expiration or the strikes in your trade. SKEW covers 30-day S&P 500 options, so price everything else from that chain’s own put and call implied volatility.

Bottom line

The Cboe SKEW Index converts the skewness priced into 30-day SPX options into one number, where 100 means zero skew and each 10-point rise is one unit more negative. Read it beside VIX, then check the actual put and call implied volatility at the expiration and strikes you plan to trade.