QuantNomad

Positive Correlation between S&P500 and VIX

Short
SP:SPX   S&P 500 Index
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?


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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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