Why you have to Deconstruct Skew, episode #527. VIX is down 0.57% so volatility is lower, right? No. At-the-money volatility as measured by VOLI is down 4% BUT deep out-of-the-money puts and out-of-the-money calls are both higher.

TermDex now positive meaning the term structure is now upward sloping.

Back below 3.00. Thanks Fed.

At-the-money options are getting hammered, as you would expect (VOLI down 2.62%). But VIX is higher because out-of-the-money calls and deep out-of-the-money puts are bid for. Is that really the way you want your volatility index to work?

We'll be unveiling a new index on Friday. It will provide data critical to everyone trading options in treasury bonds or gold. Data Is Power®

It's not helping investor optimism.

Implied volatility in gold lower across the skew and term structure.

The only green in the volatility space in both S&P and Nasdaq-100 is in out-of-the-money calls. Giddy up.

RiskDex is the ratio of out-of-the-money put prices to out-of-the-money call prices. And it continues to fall back into its customary range.

Only one of the 10 largest names in the S&P is showing call skew.

Term structure is steepening.

Now we're talking.

Long-term volatility is falling. 360-Day VolDex getting below 15.00 would be something special.

Not back to 50 but finally above 25.

That's some implied volatility landscape for DJT.

Very short-term volatility continues to come down.

This is instructive... At-the-money implied volatility (VOLI) is getting hammered while deep out-of-the-money puts (TDEX) are gaining a bit. But out-of-the-money calls (CallDex) are through the roof!

S&P 500, Nasdaq-100, and Russell 2000. One way we use the indexes is to create relative value trades between asset classes.

Pretty strange looking term structure until you remember 60 days out catches the election.