SKEW is similar to the
VIX. Both measures take place on the S&P 500. It measures the possibility of risk in the markets. The VIX uses at-the-money options
strike prices and the SKEW uses out-of-the-money strike prices. Both over the next 30 days and both measuring
implied volatility.
A SKEW value of 100 is normal. With a value like this the chances of a Black Swan event are very low. Higher numbers indicate the probability of an outlier event is increasing. Meaning the right or left ends of a normal distribution move 3 standard deviations. This is called tail risk.
Please see
https://www.investopedia.com/terms/s/skew-index.asp for more.
