The CBOE Skew Index, which attempts to calculate when the probability of a”left-tail” risk (i.e. major decline) increases for the S&P 500, is currently at 145.03. This is the fifth highest level since the series began on 1/2/1990. The only other times the Skew Index has been higher was on 10/16,1998, 9/19/2014, 12/11/2015, and 1/13/2016. In the table below you can see the 1-month, 3-month, and 12-month returns, where available, for when the Skew hit a higher level than where it was on Friday.
Obviously with such a small sample size, projections for future returns are tough to come figure out. 1998 saw strong gains after Skew Index hit 146.22 while returns a year out after the Skew Index hit 146.08 in 2014 were slightly negative. One thing that we would note that is different this time (famous last words we know) is that the 50-day moving average of the Skew Index is at an all-time high. Since 2014, the probability of a major left-tail risk in the S&P 500 has been much higher than it was from 1990-2013.