Scenario × Asset Analysis

What Happens to CBOE SKEW Index When the Sahm Rule Triggers?

What happens when the Sahm Rule recession indicator triggers? Every historical instance, market impacts, and what it means for your portfolio.

CBOE SKEW Index

143.33

as of Apr 30, 2026

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Trigger: Sahm Rule Recession Indicator

0.20%

Condition: exceeds 0.5%

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How CBOE SKEW Index Responds

When the Sahm Rule Triggers, CBOE SKEW Index typically spikes as uncertainty increases. CBOE SKEW Index measures the perceived probability of a tail event (≥2σ move down) from S&P 500 options pricing; 100 = lognormal, >120 signals growing tail-hedge demand. This scenario is particularly relevant for volatility because changes in Sahm Rule Recession Indicator directly influence the macro environment for CBOE SKEW Index. Investors should monitor both the trigger condition and CBOE SKEW Index's response to position accordingly.

Scenario Background

The Sahm Rule, developed by economist Claudia Sahm, triggers when the three-month moving average of the national unemployment rate rises by 0.50 percentage points or more relative to its low over the prior 12 months. It is designed to identify the start of a recession in real time, addressing the problem that official recession dating by the NBER often comes many months after a recession has already begun.

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Historical Context

The Sahm Rule triggered before or at the start of every US recession since 1970: 1970, 1974, 1980, 1981, 1990, 2001, 2008, and 2020. In the 2008 crisis, it triggered in early 2008,months before Lehman Brothers collapsed and before most observers acknowledged the recession. In 2020, it triggered in April as the pandemic shutdown obliterated the labor market. The indicator briefly crossed the 0.5% threshold in late 2024 amid a labor market normalization that did not lead to a recession, sparking d...