Summary

• Here we take a look at whether unusually elevated Nasdaq-100 (NDX) option skew can serve as a bullish signal for future market performance.
• Specifically, we focus on periods when 30-day 10% out-of-the-money (OTM) call implied volatility rises relative to comparable 10% OTM put implied volatility - a condition interpreted as evidence of “Fear of Missing Out” (FOMO) among option traders.
• The evidence suggests that extreme NDX call skew may serve as a useful supplementary indicator for identifying favorable market environments. The relationship becomes more pronounced over longer holding periods, indicating that elevated upside skew may capture more than short-term speculation and instead reflect sustained expectations for higher equity prices.

Executive Summary

This paper examines whether unusually elevated Nasdaq-100 (NDX) option skew can serve as a bullish signal for future market performance. Specifically, the study focuses on periods when 30-day 10% out-of-the-money (OTM) call implied volatility rises relative to

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