This index is constructed by taking the SPY and adding 3 month out of the money puts activity to come up with a "tail risk" estimate. It is a measure of the market's appetite to take on new risk. At extreme levels, it can signal over-optimism and a potential market downturn. In fact, that is what happened on 8/16/22 and 12/1/22.
It is now happening again, but...
