CBOE SKEW Extremes
Median 1M return: +1.2%, 71% win rate.
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CBOE SKEW > 145 = tail-risk fear (contrarian buy); SKEW < 110 = complacency.
- 34 signals since 2006-01-01.
- Median 1M return: +1.2%, 71% win rate.
- SKEW at 143.4 (5D avg) — approaching fear zone (145). Median 1 month forward: +1.2%. In bullish low trend regime: 69% win rate over 16 events. Wait for confirmation before sizing in.
SKEW (smoothed)
143.4
daily: 152.2
Fear Threshold
145
complacency: 110
Fear Events
34
since 2006-01-01
Avg 1M Return
+1.1%
71% 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-04-06 | 145.20 | 147.60 | 24.20 | 658.90 | Below 200D MA | High Fear (145-155) | 4.10 | 7.60 | 9.80 | |
| 2026-03-02 | 146.60 | 151.80 | 21.40 | 684.50 | Above 200D MA | High Fear (145-155) | -1.20 | -2.50 | -5 | |
| 2026-01-09 | 145.10 | 146 | 14.50 | 692.20 | Above 200D MA | High Fear (145-155) | -0.30 | -0.20 | -0.30 | -0.90 |
| 2025-11-24 | 145.60 | 148.60 | 20.50 | 664.90 | Above 200D MA | High Fear (145-155) | 1.90 | 2.10 | 3.50 | 3.40 |
| 2025-10-17 | 145.80 | 147.60 | 20.80 | 660.60 | Above 200D MA | High Fear (145-155) | 1.90 | 2.70 | 0.20 | 2.30 |
| 2025-07-16 | 145.10 | 146.70 | 17.20 | 619 | Above 200D MA | High Fear (145-155) | 1.60 | 1.60 | 3.30 | 6.40 |
| 2025-06-16 | 146.90 | 156.60 | 19.10 | 595.90 | Above 200D MA | High Fear (145-155) | 1 | 2.80 | 4.50 | 9.80 |
| 2024-11-18 | 145.90 | 147.30 | 15.60 | 577.80 | Above 200D MA | High Fear (145-155) | 1.60 | 2.70 | -0.30 | 2.40 |
| 2024-09-16 | 145.50 | 152.20 | 17.10 | 551.20 | Above 200D MA | High Fear (145-155) | 1.50 | 2.20 | 3.30 | 7.70 |
| 2024-08-22 | 146.80 | 154.20 | 17.50 | 544.80 | Above 200D MA | High Fear (145-155) | 0.40 | -2.90 | 2.70 | 6.50 |
| 2024-07-03 | 145.30 | 148.80 | 12.10 | 540.10 | Above 200D MA | High Fear (145-155) | 0.90 | 0.20 | -3.40 | 3.50 |
| 2024-06-17 | 147.20 | 153.80 | 12.80 | 534.10 | Above 200D MA | High Fear (145-155) | -0.10 | 0.70 | 1.30 | 3.20 |
| 2024-05-21 | 145.10 | 149.50 | 11.90 | 518.70 | Above 200D MA | High Fear (145-155) | -1 | 0.60 | 2.80 | 5.80 |
| 2024-03-22 | 146.50 | 155.80 | 13.10 | 508.80 | Above 200D MA | High Fear (145-155) | 0.20 | -0.50 | -3 | 4.50 |
| 2024-02-28 | 146 | 149.10 | 13.80 | 492.70 | Above 200D MA | High Fear (145-155) | 0.70 | 1.90 | 3.60 | 4.20 |
Showing 15 of 34 rows — see the live version for all.