​Weekly: Declining Skew; Morgan Stanley Sees Departures

Is skew telling us something? Is the risk of a tail event declining? One analyst told us yesterday that a skew at 135 would signal a rebound could be on the cards. Meanwhile, CBOE’s SKEW index has continued to decline from 145 on Wednesday to 138 on Thursday. The ATM S&P skew around March, however, seems to be slightly elevated, potentially around volatility that could arise during the next Fed meeting. Also in the news today, two senior European exotics officials and a senior structurer at Morgan Stanley in London, have left the firm, while in the U.S. Principal Financial Group is out with a new annuity.