Vix & S&P

Discussion in 'Trading' started by amsterdam, Apr 29, 2013.

  1. What is the correlation btw the Vix and the S&P?

    It seems to me that the Vix would plunge in a bullish mkt and vice versa, so then why does the following chart shows a nearly perfect positive corellation?
     
  2. Tsing Tao

    Tsing Tao

    Uh, is this a trick question?

    Look at the right scale, mate. Your Vix is inverted.
     
  3. Figured there was smthng wrong with this pic!

    Thx, I feel that much less stupid now :)
     
  4. lol, zerohedge
     
  5. The Vix uncoupled a little bit today. Did not drop with the market.

    Is this a bearish sign.
     
  6. Some hedging naturally going on, as there's a Fed statement coming Wednesday and the employment report's on Friday. So IV on the S&P will naturally go up until these events pass. The start of that hedging is what you're seeing on that graph, I'd expect tomorrow to be more of the same.
     

  7. the vix is a 30 day weighted measure of the premium across the strike space in the spx options. this means if demand for premium goes up then the vix can go up or down regardless of the price action.... its supply and demand for the options.. yes there is a high correlation though
     
  8. 1) Very "high"......~ -80%. You can crunch your own numbers for an exact-exact figure. :)
    2) Divergences can appear when the market is closer to unchanged. :cool: