Crash protection got more expensive on Friday during the rally
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|The only volatility gauge that was up on Friday is one that measures crash risk. The SKEW index, which tracks what traders are paying for protection against a large, sudden drop, rose 5%. That is the 95th percentile of its past year. On the same day, the VIX fell 11.21% and the VVIX, which measures the volatility of the VIX itself, fell 11.09%. options traders used Friday’s calm to buy put insurance ahead of Wednesday’s Fed decision. |
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