Correlation of VIX with U.S. 10-Year TIPS Yields The correlation of the VIX with U.S. 10-year TIPS yields has turned negative, as it was during the dot-com bubble burst, the Great Financial Crisis, the European debt crisis,… Image: Goldman Sachs Global Investment Research
VIX and Fed Monetary Policy This year, the VIX average has been similar to 2018, despite Feds’ policy U-Turn in January. Image: BofA Merrill Lynch Global Research
Steepness of VIX Curve vs. S&P 500 This chart suggests a warning sign for the S&P 500. Image: Longview Economics
U.S. Share Buybacks and VIX Interesting chart suggesting the relationship between U.S. share buybacks and VIX. Image: Societe Generale Cross Asset Research
VIX Level and S&P 500 New Highs The VIX level when the S&P 500 reached new highs for the first time is rising. Image: Goldman Sachs Global Investment Research
Probability of VIX Spiking Above 20 and Growth Level The probability of VIX spiking above 20 in the next 3 months is 60% at this level of growth. Image: Goldman Sachs Global Investment Research
VIX and MOVE Rolling Correlation Periods of high correlation between safe and risk assets are generally not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC
Distribution of VIX Interesting chart showing that VIX has avoided both extremes (<12 and >25) this year. Image: Goldman Sachs Global Investment Research
Currency Sensitivity vs. VIX If VIX spikes, this chart suggests that investors should be long yen. Image: Nordea and Macrobond
VIX Term Structure Inversion This great chart suggests that the VIX term structure inverting is often associated with an imminent low and an average gain of 8.9% over 6 months (since 2016). Image: Fundstrat Global Advisors, LLC