After testing most equity indexes and other assets and commodities, we find that an underlying with a strong and negative correlation with its IV, it seems the inverse relationship would imply put skew for that underlying. However, for an underlying that has a weak correlation with its IV, there is also insignificant option skew. This might indicate a symmetrical velocity of risk. Tom sees the potential, Tony disagrees, check out the debate on today's segment of Market Measures.
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