Shouting fire in a crowded theater is not protected speech in the real world. It can also cost you a lot of money in the markets. Unless there is actually a fire.
Good to hear from you! This is definitely homage to the 'books' I sent around in the old days, I just spread it out over a month. You are right about these indices. SKEW is almost more of a kurtosis measure. Both are coincident with the market and don't give any signaling. You are right about 90-110. However, maybe ironically, it is pretty flat too...
I tried commenting before but did not show up again, so here goes again, forgive me if it shows up twice. I always enjoyed those 40 pagers that you used to share with me back in the days of LEH and Nomura. Reading through this it was a trip down memory lane. I only recently discoverd that you had a substack. Just one suggestion. Forget SKEW and CSFB---these are flawed indicators that do not represent what you think they represent. Of course it is common to expect put skew to be elevated when the VIX is surging but you often find inverse correlation with these flawed measures which is down to their faulty construction. You are better off measuring skew more directly by looking at 3m or 6m 90%-110%. All the best.
Good to hear from you! This is definitely homage to the 'books' I sent around in the old days, I just spread it out over a month. You are right about these indices. SKEW is almost more of a kurtosis measure. Both are coincident with the market and don't give any signaling. You are right about 90-110. However, maybe ironically, it is pretty flat too...
I tried commenting before but did not show up again, so here goes again, forgive me if it shows up twice. I always enjoyed those 40 pagers that you used to share with me back in the days of LEH and Nomura. Reading through this it was a trip down memory lane. I only recently discoverd that you had a substack. Just one suggestion. Forget SKEW and CSFB---these are flawed indicators that do not represent what you think they represent. Of course it is common to expect put skew to be elevated when the VIX is surging but you often find inverse correlation with these flawed measures which is down to their faulty construction. You are better off measuring skew more directly by looking at 3m or 6m 90%-110%. All the best.