TastyTrade reviewed the SKEW on a recent segment of Market Measures. Their view it basically as an 'old school' way of viewing volatility.
The segment is important as they show that selling -0.3 delta SPY puts with 45 days-to-expiration when SKEW is higher (above >125 or >135) is much more profitable and less risky than selling them all the time.
This conclusion is rather incomplete, in my opinion. Although selling puts when SKEW is high leads to great results, that is largely because after extreme readings (especially above 135) the SKEW often prints at an extremely low level, say below 120, within a few days. Those low prints after an extreme often mark the bottom of the SPX in the short term.
In fact, this reversal in SKEW is similar to the VIX speak that McMillan discusses and trades. Both are confirming indicators to get bullish. For that, in the money puts can be sold profitably with great success.
