Skew指数は、シカゴ・オプション取引所（CBOE）が2011年2月2

Skew指数は、シカゴ・オプション取引所（CBOE）が2011年2月23日から公表する、S&P500を対象とするオプション価格のデータ（アウト・オブ・ザ・マネーのオプション価格）を使用し、市場の歪みを数値化したリスク指標をいう。これは、ファイナンス理論で「テール・リスク（Tail Risk）」とか「ブラック・スワン・イベント（Black Swan Event）」とか言われる、極端な事象（突発的に発生する大幅な下落）が発生するリスクを示す指標である。

一般にSkew指数は、オプション市場で、将来の大きな価格変動に備える取引が増えると上昇する仕組みであり、その特色は、ブラック・スワンの登場を警戒する不安心理の高まりを示す。具体的には、指数値が100の時は分布が平常の状態であり、あまりテール・リスク（発生確率は低いが発生すると巨額の損失となるリスク）がないことを意味し、一方で100を超えてくると、下落の場合のテール･リスクが通常以上に大きくなってきていることを意味する。

結果 (英語) 1:

Skew index S Chicago Board of options exchange (CBOE) announced 2/23/2011, á means the market distortion of risk indicators using the option price to P500 data (out-of-the-money option price). It said tail risk （ Tail Risk ） or Black Swan event （ Black Swan Event ） in finance theory,In the indicator of the risk of extreme events (a significant decline in an outbreak of).

Generally Skew exponential increase in trading in the options market, prepare for future changes and increased the spot shows the heightened anxiety to be wary of the emergence of the Black Swan. And the means, index value is 100 when distribution is normal state, and not much tail risk (risk and huge losses would occur but low probability of occurrence)And over 100 on the other hand, fell when tail-risk usually means has been increased to over.

結果 (英語) 2:

Using Chicago Board Options Exchange (CBOE) is published by the February 23, 2011, the (option price of out-of-the-money) data of option prices to target the S & P500, Skew index of market refers to the risk index that quantifies the distortion. Is referred to as "tail risk (Tail Risk)" or "Black Swan events (Black Swan Event)" or finance theory, this is, the risk of (significant decline that occurs suddenly) extreme event occurs It is a measure of. Skew index is a mechanism to increase the options market, trading to prepare for large price fluctuations in the future will increase in general, the feature shows the growing anxiety to guard against the appearance of the Black Swan. Specifically, the index value is the state of the normal distribution is at 100, tail risk too much (probability of occurrence is low but risks and the huge losses when one does) it means that there is no, 100 on the other hand When you come over, it means that the tail risk in the event of decline has been increasing than usual.

結果 (英語) 3:

The Skew index, Chicago Options Exchange (CBOE) from 23 February 2011 release, option pricing and S & data (500 P out-of-the-money option price) is used as the indicator of the risk of the market. This is the "tail risk finance theory (Risk Tail)" or "(ブラック・スワン・イベント Black Swan Event) and said,"Extreme events in a burst for a big fall) is an index of the risk. The Skew index options market, for the general mechanism to deal with a large increase in future price fluctuation increases, its characteristics, anxiety about the rise of the black swan. More specifically, the index value of normal distribution when the state of the tail risk is too low probability of risk occurrence, development and huge losses) means that theOn the other hand, more than 100, the tail risk of falling and that increased more than usual.