QuantNomad

Positive Correlation between S&P500 and VIX

Penjualan
SP:SPX   Indeks S&P500
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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