As of friday night the Spyder Optionchain for options expiring in 43CD we find the following distribution of paid option premia over a range of historic standard deviations.
Each point on the graph depicts a data pair with a price (as % of underlying, ie how much does it cost to buy the option in %) and the amount of standard deviations the market has to move in order to make the bet profitable (before cost, a.k.a. 'getting in the money').
The peak of the chart is the price at which the market only has to marginally move into my desired direction in order to get in the money.
As of friday we do notice that the distribution is skewed to the downside, meaning players have paid more to get hedged. This works as a contrary indicator where you asuume a hedged position to be bullish. I define the hedged case as the 'PutSkew' (or the reverse as the 'CallSkew').
This has to be seen in a dynamic context where we monitor the day by day developments of the Put- & CallSkews. In this current case we observe a deterioration of the PutSkews which indicates a foreseeablee exhaustion of the bullish case, which in turn supports our overall assessment.
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