From THE Ohio State University via the SSRN:
Forecasting Earnings Crashes with Options Skew
This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short-window earnings announcement periods. The predictive power is incremental to the information in historical volatility, financial reporting opacity, and even the current period’s earnings surprise. In contrast, volatility skew does not predict crashes outside of earnings periods, even in regressions with few independent variables, and even when those periods include management earnings forecasts....MOREHT: History Squared
See also ZeroHedge:
25 Years Later: The Dow's Biggest Loser (And Winner)
...But perhaps most importantly - the Dow is around 850 points from its intraday highs in October 2007 - and of the members of the Dow at that point AIG and C did the most damage (accounting for 870 points of loss on their own); while IBM has been the true star adding a magnificent 568 points during that time.
We can only hope that IBM, MCD, and WMT do not start to disappoint...oh wait...