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GaveKal Goes Looking For Black Swans, Finds A Soaring Skew

Via Gavekal's Capital blog,

The CBOE Skew Index made a 15-year, 11-month high last Friday and the 25-day moving average is on the rise again.

The latest reading puts the risk-adjusted probability of a 2 standard deviation event happening in the next 30-days at 11.75%-13.10% and a 3 standard deviation event at 2.21%-2.51% for the S&P 500.

The 1-quarter moving average of the Put/Call ratio is on the rise as well.

It is approaching levels which has been consistent with the 1-quarter price returns for the S&P 500 turning negative. The 1-quarter change in the S&P 500 current is at 1.61%.