Methodology
A regime-aware SPY chart that colors each price segment by the contemporaneous downside-volatility-skew regime. The upper panel shows SPY daily adjusted close with a 20-day EMA overlay; each price segment is colored green (greed), yellow (neutral), orange (fear), or red (extreme fear) based on the DEEP SKEW percentile in the lower panel. The lower panel plots the rolling percentile rank of the CBOE SKEW index.

DEEP SKEW construction

The skew reading is the official CBOE SKEW index — CBOE’s daily measure of the implied-volatility skew embedded in S&P 500 options, computed from the 30-day SPX option curve (the farther out-of-the-money put prices are relative to ATM, the higher the SKEW index; typical range roughly 115–155). The raw daily SKEW index is lightly smoothed over 2–3 sessions (SMA) and then transformed into a rolling percentile rank over a configurable lookback (default 2 years).

Data provenance: CBOE publishes the SKEW index daily and its full official history as a free CSV (SKEW_History.csv, back to 1990). A cron job refreshes the mirror after the US close each weekday; every point plotted is a real CBOE published reading. No synthetic, modeled, or reconstructed values are used at any point.

Regime coloring

The SPY price segments are colored according to the DEEP SKEW percentile:

• Green (greed): percentile ≤ 60% — complacency, low tail risk pricing
• Yellow (neutral): 60% < percentile < 62% — balanced market
• Orange (fear): 85% ≤ percentile < 88% — elevated tail risk pricing
• Red (extreme): percentile ≥ 88% — extreme fear, maximum skew

The 20-day EMA overlay is drawn in blue. Turning points in the skew are marked where the regime changes.

Calibration

The percentile thresholds are calibrated to reproduce the approximate range and turning points of the reference chart: 53–88% observed range, neutral near 72%, greed below 60%, and fear above 85%. All parameters (smoothing, percentile lookback, thresholds) are configurable via the panel above. The endpoint caches the official SKEW index history and flags sessions with no published reading.

Data

SPY prices: Yahoo Finance (SPY OHLC + dividend-adjusted). Skew: CBOE SKEW index official history (SKEW_History.csv). Calculations: in-page implementation of the methodology above. This is a volatility-regime gauge, not investment advice.