Measuring Market Asymmetry: The Glassnode Skew Index
The Glassnode Skew Index is a new metric designed to measure market asymmetry by analyzing the entire volatility smile in options markets, rather than relying on the traditional 25-delta skew which only samples two points. It aggregates information from out-of-the-money puts and calls to produce a more comprehensive signal of where risk is priced.
The index is calculated as the difference between UpVol (volatility from OTM calls, reflecting upside potential and bullish sentiment) and DownVol (volatility from OTM puts, indicating downside protection and fear). A positive value suggests optimism and call-buying demand, while a negative value signals hedging and risk aversion.
The Skew Index helps identify market sentiment regimes, confirms or diverges from spot price movements, and interprets different tenors (e.g., 1-week, 3-month) to distinguish between short-term stress and longer-term outlooks. It is available for multiple assets (BTC, ETH, SOL, XRP, PAXG) and tenors, providing a cross-asset view of options market sentiment.
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