Unless there is a high likelihood of a significant jump upwards (eg, if there were a potential takeover event), equities normally have negative skew (low strike implied greater than high strike implied). There are many possible explanations for this, some of which are listed below:
Put corrs tend to 100, but diverse index is on avg lower corr — also true for eq weight vs market cap index
As index skew is caused by both single-stock skew and implied correlation skew, a more diverse index should have a higher skew than a less diverse index (assuming there is no significant difference in the skew of the single-stock members). This is due to the fact that diverse indices have a lower ATM implied, but low strike implieds are in line with (higher) average single-stock implieds for both diverse and non-diverse indices.
A related observation on implied correlation:
Equal-weighted correlation is c5 points below market value-weighted
Market value-weighted correlation swaps tends to trade c5 correlation points above realised correlation (a more sophisticated methodology is below). This level is c10 correlation points below the implied correlation of dispersion (as dispersion payout suffers from being short volga). In addition, the correlation levels for equal-weighted correlations tends to be c5 correlation points lower than for market value-weighted, due to the greater weight allocated to smaller – and hence less correlated – stocks.