If volatility is an eye to the markets soul, 2016 has seen odd correlations between the VIX and the underlying price action of the S&P 500. Certain analysts look at VIX / SPX relationship, and overlay it with other indicators, to determine the force of market trends. Such oddity has made such analysis challanging. Goldman Sachs options researcher Krag Gregory, in a January 25 research report, confirms this, noting the “VIX has undershot S&P 500 daily moves by an aggregate of about 6.5 vol points year-to-date.” Indeed, the VIX correlations acting odd are unusual, particularly when considering how the VIX has…
Goldman Sachs: VIX / S&P Correlation Off, New Volatility Range Ahead
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.