Vix & S&P

[amsterdam]

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?

 

[Tsing Tao]

Quote from amsterdam:

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?

Uh, is this a trick question?

Look at the right scale, mate. Your Vix is inverted.

 

[amsterdam]

Figured there was smthng wrong with this pic!

Thx, I feel that much less stupid now

 

[failed_trad3r]

lol, zerohedge

 

[Mercor]

The Vix uncoupled a little bit today. Did not drop with the market.

Is this a bearish sign.

 

[trefoil]

Quote from amsterdam:

Figured there was smthng wrong with this pic!

Thx, I feel that much less stupid now

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.

 

[cdcaveman]

Quote from amsterdam:

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?

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

 

[nazzdack]

Quote from amsterdam:
----correlation btw the Vix and the S&P?
----Vix would plunge in a bullish mkt and vice versa....

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.