Since we first exposed (and explained) the Black-sh Swan-link nature of the options market’s Skew Index, the mainstream media has lept to various conclusions (from ignore it, like everything else, to ‘wow’). However, what is crucial to comprehend is that the soaring Skew is occurring at the same time as a collapsing VIX.
And stunningly, what we have seen over the last two days is somewhat unprecedented – VIX has continued to collapse into option expiration (and we know the pattern that occurs after opex)
