The VIX and SPX usually run inversely correlated. When they begin to correlate for short periods of time, it usually means investors are worried about something. from 1998 to 2020, the level of the 3-month correlation that we are currently experiencing (10-6-20) has led to negative moves in the market 9 out of 10 times. The market moves mildly negative over the next three months most of the time. This chart shows the SPX, and has the Correlation Coefficient indicator below, set to 62 periods (about 3 months on a daily chart). The black line shows the level we are seeing at the moment of capture.
Comment:
Actually the black line in this picture is for a 13-week signal. If I use a 62-day signal, then the black line drops to a level that signals 14 out of 15 negative moves, some very sharply lower.