Where a volatility index summarises the level of implied volatility, a skew index summarises the asymmetry. It rises when the market pays up specifically for far out-of-the-money puts, which is a different signal from a general rise in the cost of options.
Interpretation requires care. A high reading means tail protection is expensive, which is as consistent with crowded hedging as with impending disaster, and the historical record of these indices as timing tools is poor. They describe positioning and pricing, not prediction.
Example: the volatility index sits at a sleepy 13 while the skew index prints near its historical highs. Cheap at-the-money volatility, expensive wings — a favourable environment for buying put spreads and an unfavourable one for buying naked far-out puts.
Related: volatility-skew, vix, left-tail-hedge, delta-as-probability