Positive Correlation between S&P500 and VIX
In the last few weeks, weird things are happening. We currently have a positive correlation between the S&P 500 and VIX, basically VIX grows with the S&P500 together.
I used 20 days correlation, currently it's around 0.8, and it's quite high.
Usually, you expect to see it around -1, and it makes sense.
For the last few years, the correlation was above 0 only a handful of times nothing good happened after that.
Last few cases of positive correlation: Jan 2018, May 2019, Jan 2020.
What do you think? Can that we a sign of new correction?
Disclaimer
Please remember that past performance may not be indicative of future results.
Due to various factors, including changing market conditions, the strategy may no longer perform as good as in historical backtesting.
This post and/or the script don’t provide any financial advice.
I used 20 days correlation, currently it's around 0.8, and it's quite high.
Usually, you expect to see it around -1, and it makes sense.
For the last few years, the correlation was above 0 only a handful of times nothing good happened after that.
Last few cases of positive correlation: Jan 2018, May 2019, Jan 2020.
What do you think? Can that we a sign of new correction?
Disclaimer
Please remember that past performance may not be indicative of future results.
Due to various factors, including changing market conditions, the strategy may no longer perform as good as in historical backtesting.
This post and/or the script don’t provide any financial advice.
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