CBOE SKEW Index
The CBOE SKEW Index is derived from the price of S&P 500 tail risk.
Description
Similar to VIX, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options.
How to use
# For use in your algorithms via the pipeline API
from quantopian.pipeline.data.quandl import cboe_skew

# For use in Quantopian Research, exploring interactively
from quantopian.interactive.data.quandl import cboe_skew
Key Metrics
asof_date - the timeframe to which this data applies
timestamp - the simulated date upon which this data point is available to a backtest
skew - value of the SKEW index for a single day
Example Usage
Various notebooks, algorithms, and posts that use this data.

Vendor
Quandl hosts data from hundreds of publishers on a single easy-to-use website.
Price
Free
Timespan of data
02 Jan 1990 - Ongoing