GAMMA and VIX9D maintain their strong inverse relationship (−0.80 correlation over the full period). As the Cboe GAMMA Index steadily declines from its December highs, short-term implied volatility trends upward — realized vol continues to exceed what was priced in, and the market reprices near-term implied vol higher in response.

The Cboe SKEW Index tells a more volatile story. It peaked at 161.3 on Christmas Eve, dropped sharply into early January, recovered through mid-January, then collapsed to 141 on 1/22 — the same session window where VIX9D spiked. Through February, SKEW ranged between 137 and 146, broadly declining in step with GAMMA. But in early March, SKEW rallied back above 150 before crashing to its period low of 137.8 on 3/13.

What followed was a sharp V-shaped reversal: SKEW snapped from 137.8 to 155.4 in just two sessions — while VIX9D was actually falling. That +17.6 point recovery signals a sudden repricing of tail risk even as near-term volatility expectations eased. The market is telling two stories simultaneously: near-term fear is receding slightly, but demand for deep out-of-the-money crash protection is surging.

Focusing on skew across the Apr, May, and June SPX regulars … ATM vol slopes down with tenor: April is 18.26%, May 18.02%, June 17.72%. This mild term structure inversion is consistent with near-term uncertainty the market expects to partially resolve over time.

Unlike the prior session where 25-delta skew was flat across months, today it increases with tenor: 8.25% in April, 8.63% in May, 9.04% in June. This steepening means hedgers are paying progressively more for downside protection further out — a shift toward pricing the risk regime as durable rather than a near-term event.

The put/ATM ratio reinforces this: it rises from 1.255 in April to 1.289 in May to 1.319 in June. Meanwhile, 1-sigma skew is remarkably flat at ~11.5–11.6% across all three months, suggesting the expected-move boundary is pricing risk uniformly while the 25-delta wings are where the term structure differentiation lives.

Put skew vs ATM at 1-sigma increases steadily from 5.6% in April to 6.2% in May to 6.7% in June, while call IV compression narrows from 6.0% to 4.9%. The smile is growing more asymmetric further out — the downside wing is steepening while the upside wing flattens.

Summary: the declining Cboe GAMMA Index confirms realized vol persistently exceeds implied. Rising VIX9D reflects the market catching up. The dramatic SKEW reversal off its lows — especially its divergence from VIX9D — signals that portfolio hedgers are aggressively re-entering the tail protection market. And the steepening 25-delta skew term structure confirms this isn't just a front-month phenomenon: downside hedging demand is being priced as a persistent condition across the entire curve.

Today's 25-delta skew now increases with tenor (8.25% → 8.63% → 9.04%) rather than being flat at ~9.3% as it was yesterday. That steepening is a new development — the back months are building in more downside premium relative to the front, which aligns perfectly with the SKEW surge.

The smile asymmetry is also widening out the curve: put skew vs ATM at 1-sigma grows from 5.6% in April to 6.7% in June, while call compression narrows from 6.0% to 4.9%. The downside wing is getting steeper while the upside wing flattens — a textbook tilt toward crash hedging.

1-Day session change

Measure	Prior	Current	Change	% Change
GAMMA	227.11	223.53	−3.58	−1.6%
VIX9D	24.33	22.36	−1.97	−8.1%
SKEW	141.49	155.38	+13.89	+9.8%

The standout: SKEW surged nearly 10% in a single session while VIX9D fell 8%. This divergence — tail risk spiking as near-term vol eases — is a classic sign of institutional hedgers loading up on deep OTM protection, likely in response to the GAMMA Index making new lows.

Jargon

Cboe GAMMA index — a total return index that tracks the performance of a delta-hedged portfolio of the five shortest-dated SPX weekly straddles. It's essentially a scorecard for selling short-term gamma: when the index rises, short-straddle sellers are profiting (realized vol is running below implied); when it falls, realized vol is exceeding what was priced in and that strategy is bleeding.

Cboe SKEW measures the perceived tail risk of S&P 500 returns over a 30-day horizon, derived from out-of-the-money option prices. A value of 100 implies normal distribution; higher values indicate greater perceived probability of an outlier move. Typical range is 120–160.