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SKEW

What it is

SKEW — registry key skew.

Classifier metric. See the bands table below for the band-by-band reading.

Source

Source module: vol_structure
Data source: back_fillable

Fetched directly from app/sources/vol_structure.py; see source code for the upstream API call and any provider-specific handling.

How it’s computed

Raw CBOE SKEW Index close from yfinance ticker ^SKEW. SKEW is a CBOE measure of the implied volatility of OTM S&P 500 puts relative to ATM options — a market-implied probability of a 2σ+ tail move over the next 30 days. Typical range 100–170; 100 means tail risk is priced in line with a lognormal distribution, higher means a fatter left tail. Fetched in vol_structure (_fetch_skew), moved there from macro_indicators (refactor C3) so it refreshes on the hot profile. The classifier bands (Benign / Normal / Firm / High / Extreme tail risk) are applied downstream via signal_defs.band_for('skew', value).

Where it surfaces

• API field: volatility.skew on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/history time series
• Surface: /signals/sparklines (UI sparklines)

Bands / thresholds

Classifier direction: lower_is_better.

Health-score / alignment role

• Health score component: skew_vix (weight + math in app/signals/config/score_weights.json and app/signals/score.py).
• Alignment category: volatility, default weight 1.0 (see /kb/alignment for the 11-category framework).
• Contributes to: health_score.SKEW/VIX, implication.volatility, alignment.volatility

Release cadence

• Publishes: intraday

See also

• /kb/alignment — Alignment framework — 11-category implication vs. price.
• /kb/health-score — Health score — 0-100 composite.
• /kb/api/get-signals-latest — API endpoint that serves this field.