Calm stock market? Not according to two option gauges

* Analyst sees a twist in volatility data

* CSFB hits 30.19 level on Monday, below Sept all-time high

* CBOE Skew value is 128.17 on Monday, below 139.25 in March

* Widely watched VIX in 15-16 range, versus 20.5 threshold

By Doris Frankel

Oct 2 (Reuters) - The options market is showing signs of increasing worry about the path of the stock market over the next few months -- and some traders are bidding up puts to protect their assets in case of a decline in equities.

While the CBOE Volatility Index shows a relatively low level of anxiety, two lesser-known gauges of options pricing are showing signs of heightened worry among institutional investors, said Jason Goepfert, president of

"When that happens, stocks pull back," he wrote in a report late on Monday.

Both the Credit Suisse Fear Barometer Index and the CBOE S&P 500 Skew Index , a measure of perceived risk of extreme negative moves, have recently hit or been near record highs. Both indicators are more sensitive to downside put demand than the popular VIX, a measure of future market swings.

Goepfert said that historically when "institutional" indicators like the CSFB and Skew Index hit high levels, while "retail" volatility indicators like the VIX are relatively calm, the market tends to suffer.

The CSFB Index hit 30.19 on Monday, close to an all-time high of 32.4 set on Sept. 27.

The CSFB, which rises where there is more demand for downside puts relative to upside calls, differs from the VIX in its use of S&P 500 options and data.

The CSFB essentially tracks the willingness of investors to pay for downside protection with zero-premium so-called collar trades that expire in three months using SPX options.

With the CSFB over 30, a trader who sold a 10 percent out-of-the-money call could only buy a put that is 30 percent out-of-the-money with the proceeds, Goepfert said. That suggests that SPX options traders are pricing in heightened downside volatility relative to upside volatility.

"The rise in the CS Fear Barometer shows that despite the current low volatility environment, investors are still cautious in the medium term," said Mandy Xu, equity derivatives strategist at Credit Suisse. "They are more concerned about potential downside than missing further upside."

Also of concern is the sustained elevation of the CBOE Skew Index, meaning there is a higher-than-average probability of a "black swan" event -- an unexpected event of large magnitude and consequence -- in the U.S. equity market, Goepfert said. The Skew Index closed at 128.17 on Monday, below its year high of 139.25 set on March 12.

The Skew Index is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500 returns at a 30-day horizon. Tail risk is associated with a rise in the probability of market moves that diverge sharply from more usual outcomes, also known as "standard deviations."

"The recent readings suggest about a 10 percent probability of a two-standard-deviation move within the next 30 days," Goepfert said. "When the index is near its lower levels, that probability is closer to 5 percent."

The VIX is a 30-day risk forecast of stock market volatility conveyed by a strip of SPX options and typically moves inversely to the S&P benchmark. It has lately been in the 15 to 16 range, compared with its long-term historical mean of about 20.5.

Although the VIX may still seem low, historical volatility for the SPX is down around 8 percent, a very large premium to the VIX, and suggests that traders expect volatility to pick up in the near term, said optionMonster analyst Chris McKhann on the firm's website.

The VIX was flat at 16.32 on Tuesday afternoon while VIX futures were mixed. October futures edged up to 17.05 while November steadied at 18.30. December was at 19.20 with the rest were above a 20 reading, indicating higher expected volatility in coming months.

(Editing by Leslie Adler)

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