Someone sent us this Bloomberg chart that shows the SPY (ETF) equity option "skew" (implied volatilities across different strike levels) for options with a 1-month maturity. Strike price is shown as a percentage of the current price of SPY. It looks as though the implied volatility on the up-side has spiked dramatically. One explanation proposed has been that as the equity rally stalled and people have sold some of their equity positions, they also bought back the covered calls they shorted earlier - bumping up implied vols.