1 Alpha Opportunity In The Current S&P Skew

In a new report, Bank of America analyst Youssef Brahimi discusses how traders can profit from the extremely narrow trading range and steep skew that the S&P 500 has exhibited throughout 2015. Brahimi suggests one approach to the historically tight trading range using an SPX option strategy.

The pattern
According to the report, the closing high-low range for the S&P 500 so far in 2015 is 1992.67 to 2130.82. That range represents only a 6.9 percent spread, the smallest spread the market has exhibited in 90 years.