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 uses data (out-of-the-money option price) to the Chicago Board of options exchange (CBOE) announced 2/23/2011, the S & p 500 option prices and the number of market distortion risk measures. It is in the indicator of the risk of tail risk (Tail Risk) or the Black Swan event (Black Swan Event) told in finance theory, extreme events (significant declines occur in bursts) can occur.Increases generally Skew index increases, prepare for future changes in the options market trading mechanisms, and features shows the heightened anxiety to guard against the emergence of the Black Swan. And means the exponent value 100 distribution is normal state, and too much tail risk (risk huge losses and cause a low probability of occurrence) is not on the other hand over the 100 and tail risk of falling if usually means more than getting bigger.

結果 (英語) 2:

Skew Index, Chicago Board Options Exchange (CBOE) is published by the February 23, 2011, using the data of the option price (option price of out-of-the-money) that target the S & P500, the market It refers to quantify risk indicators distortion. This is, in finance theory is said or "tail risk (Tail Risk)" or "Black Swan events (Black Swan Event)", the risk of extreme events (sudden a significant decline that occurs) is generated it is an index showing. In general Skew Index, in the options market, is a mechanism to increase and increase the trade to prepare for the large price fluctuations in the future, the feature is, show a growing anxiety to guard against the emergence of Black Swan. Specifically, it is the distribution of normal state when the index value is 100, it means that there is not much tail risk (risk the occurrence probability is low that comes to occur when huge losses), the On the other hand 100 and beyond come, it means that the tail risk in the case of the decline has been increasing to more than usual.