“’There is no real excess fear in terms of crash risk,’ said Garrett DeSimone, head of quantitative research at OptionMetrics, in a phone interview.
Based on options activity linked to the SPDR S&P 500 ETF Trust and Invesco QQQ Trust Series I QQQ, traders aren’t pricing in a relatively higher probability of a large selloff in U.S. the stock market, according to his research, which looked at the 60-day ‘skew.’ The skew measures the relative pricing of out-of-the-money puts to calls in the options , serving as an indicator of tail-risk hedging, according to DeSimone.”
Read the full MarketWatch article, “ETF flows ‘swoon’ in August as this area of bonds dominate,” for more insight from OptionMetrics.