Positive correlation between S&P 500 and VIX

[jimmyjazz]

Can you expand on that? I thought the VIX was reflective of a weighted blend of SPX option prices.

 

[FSU]

Today is one of those days . . . the VIX and the S&P 500 seem to be tracking very closely. While rare, I've seen it happen before.

What is the meaning of this? Ordinarily, the VIX drops when the S&P climbs, but not always. Are there any studies I could read that discuss what might be inferred from this correlation? Is it a harbinger of an impending market turn? A nothing-burger? Other?

Jimmy,
I have been trading this spread off and on for many years (vix future vs emini spx future). Every now and then you will see a day like today. When you have an extreme rally and the vix goes up. I was looking to sell the vix future and sell the emini, but never pulled the trigger. I have seen it continue for a few days, so there is a lot of risk in the spread.

 

[FSU]

Can you expand on that? I thought the VIX was reflective of a weighted blend of SPX option prices.

This is what the VIX index is based on. The VIX future sometimes has a mind of its own.

 

[jimmyjazz]

But he said the VIX tracks the VIX futures?

 

[SoesWasBetter]

This is what the VIX index is based on. The VIX future sometimes has a mind of its own.

Vix won, market sold off nicely

 

[jimmyjazz]

Uh, what? The market was up big today.

 

[contango321]

It’s actually VIX options that are derived from /VX futures. Not the VIX itself. My mistake

 

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Five Charts That Show We Are on the Brink of an Unthinkable Financial Crisis

http://www.marketoracle.co.uk/Article60890.html

Not fear mongering but like the Fed Balance Sheet unwind argument.

"Ample low-cost liquidity drives asset prices higher. That’s not controversial. It makes perfect sense that the withdrawal of ample low-cost liquidity would also impact asset prices in the opposite direction.


The Fed has even given us a schedule by which it will unwind its balance sheet. Michael’s chart gives us a sense of how far the S&P 500 could drop if the Fed unwinds as planned and if the relationship between liquidity and stock prices persists. Either or both of those could change; but if they don't, the S&P 500 could fall 50% in the next few years."