CBOE SKEW Extremes
Median 1M return: +1.1%, 70% win rate.
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CBOE SKEW > 145 = tail-risk fear (contrarian buy); SKEW < 110 = complacency.
- 39 signals since 2006-01-01.
- Median 1M return: +1.1%, 70% win rate.
- SKEW at 150.4 (5D avg) — extreme tail-risk hedging, elevated fear. Median 1 month forward: +1.1%. In bullish normal trend regime: 74% win rate over 19 events. Contrarian buy zone — fade the panic.
SKEW (smoothed)
150.4
daily: 151.0
Fear Threshold
145
complacency: 110
Fear Events
39
since 2006-01-01
Avg 1M Return
+1.0%
70% win rate
When to run this study
Run daily. When SKEW spikes above 145, investors are aggressively buying out-of-the-money puts — a sign of elevated tail-risk fear. Historically, extreme SKEW readings have preceded short-term volatility but often precede recoveries as well. Use in conjunction with VIX elevated days and breadth data. Low SKEW (< 110) flags complacency — a vulnerability indicator before corrections.
Historical results
Historical SKEW Fear Events (smoothed > 145)
| Date | SKEW (5D avg) | SKEW (daily) | VIX | SPY Entry | 200D Regime | SKEW Bucket | 1W | 2W | 1M | 3M |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10-09 | 145.90 | 154.30 | 14.80 | 778.60 | Above 200D MA | High Fear (145-155) | -2 | -2.40 | ||
| 2026-09-28 | 145.60 | 146.20 | 16.10 | 765.60 | Above 200D MA | High Fear (145-155) | 1.20 | 1.60 | ||
| 2026-08-28 | 145.10 | 149.80 | 14.40 | 767.40 | Above 200D MA | High Fear (145-155) | 0.10 | -1.10 | -0.40 | |
| 2026-07-01 | 145.60 | 154.80 | 16.60 | 743.90 | Above 200D MA | High Fear (145-155) | 0.80 | 0.70 | 0.20 | 2.50 |
| 2026-06-11 | 145.10 | 143 | 19.40 | 734 | Above 200D MA | High Fear (145-155) | 1.50 | -0.90 | 2.20 | 3.90 |
| 2026-04-06 | 145.20 | 147.60 | 24.20 | 655.60 | Below 200D MA | High Fear (145-155) | 4.10 | 7.60 | 9.80 | 13.80 |
| 2026-03-02 | 146.60 | 151.80 | 21.40 | 681.10 | Above 200D MA | High Fear (145-155) | -1.20 | -2.50 | -5 | 10.80 |
| 2026-01-09 | 145.10 | 146 | 14.50 | 688.70 | Above 200D MA | High Fear (145-155) | -0.30 | -0.20 | -0.30 | -0.90 |
| 2025-11-24 | 145.60 | 148.60 | 20.50 | 661.60 | Above 200D MA | High Fear (145-155) | 1.90 | 2.10 | 3.50 | 3.40 |
| 2025-10-17 | 145.80 | 147.60 | 20.80 | 657.30 | Above 200D MA | High Fear (145-155) | 1.90 | 2.70 | 0.20 | 2.30 |
| 2025-07-16 | 145.10 | 146.70 | 17.20 | 615.90 | Above 200D MA | High Fear (145-155) | 1.60 | 1.60 | 3.30 | 6.40 |
| 2025-06-16 | 146.90 | 156.60 | 19.10 | 592.90 | Above 200D MA | High Fear (145-155) | 1 | 2.80 | 4.50 | 9.80 |
| 2024-11-18 | 145.90 | 147.30 | 15.60 | 574.90 | Above 200D MA | High Fear (145-155) | 1.60 | 2.70 | -0.30 | 2.40 |
| 2024-09-16 | 145.50 | 152.20 | 17.10 | 548.50 | Above 200D MA | High Fear (145-155) | 1.50 | 2.20 | 3.30 | 7.70 |
| 2024-08-22 | 146.80 | 154.20 | 17.50 | 542 | Above 200D MA | High Fear (145-155) | 0.40 | -2.90 | 2.70 | 6.50 |
Showing 15 of 39 rows — see the live version for all.