Passed Pawn
@passedpawn
#SPX put skew is as cheap as it gets. Two recent comps: 1. Pre-GFC: very low VIX, Fed on hold, low macro vol, Fed put 2. During GFC: VIX exploded >40 so skew naturally flattened as high vol priced into all strikes None of these conditions exist today. Skew seems too cheap. https://i.imgur.com/TfOi6wG.jpg
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