Exactly. +1 If you're going to trade VIX derivatives or products based on them, make sure you know exactly what VIX actually is and how it's calculated: https://www.cboe.com/tradable_products/vix/ Just because you predict SPX will go down over a given time period, that doesn't mean you should just knee-jerk and buy a VIX derivative. You can get horribly burned even if you are right about your prediction on SPX. If you predict SPX will go down then use SPX derivatives instead, plain and simple. VIX is not inverse SPX!
Absolutely correct. -82% daily over last 100 days -78% daily over last 250 days -73% daily over last 1000 days Of course other time frames (eg: weekly) and lookback lengths or rolling window lengths will give different results. And of course this is just standard, out-of-the-box correlation, nothing fancy. I've read some of what @stochastix has written on ET in the past and he is definitely way beyond the standard correlation stuff... but it seems like some people don't even know these basics. Learn it or lose money, what else can I say? --- RealTest Code: Import: DataSource: Yahoo IncludeList: SPY IncludeList: ^VIX StartDate: Earliest EndDate: Latest SaveAs: SPY_VIX_Yahoo.rtd Data: VIXClose: Extern($^VIX, Close) VIXChg: PctChg(VIXClose, 1) SPYClose: Extern($SPY, Close) SPYChg: PctChg(SPYClose, 1) R_SPX_VIX_100: Correl(SPYChg, VIXChg, 100) R_SPX_VIX_250: Correl(SPYChg, VIXChg, 250) R_SPX_VIX_1000: Correl(SPYChg, VIXChg, 1000) Scan: ClosePrice: Close VIXClose: VIXClose SPYClose: SPYClose R_SPX_VIX_100: R_SPX_VIX_100 R_SPX_VIX_250: R_SPX_VIX_250 R_SPX_VIX_1000: R_SPX_VIX_1000 EDIT: I used SPY as an approximation to SPX due to a data import error I didn't want to spend time fixing.
RE UVXY etf : -8% ytd seems to be pretty good for an etf that has gone from $1.76 Billion to $11 since 2011 .
This whole fkg thread is lol.. Sigh..... but thx I needed a laugh. Reminds me of Monty Python "a duck"
It's an index. CBOE and others have issued a series of ETFs and ETNs that track it and different aspects of it. When people talk about trading the VIX, they're referring to one of those (e.g., $VIX.X.) https://www.macroption.com/vix-etf-etn-list/