Search Results for: vix

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 and MOVE Correlation Periods of high correlation between VIX and MOVE are not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC

The Yield Curve Leads VIX (Volatility) by Three Years Is more volatility expected ahead? This chart suggests that the CBOE Volatility Index or VIX usually follows the U.S. 10-year vs. 2-year Treasury spread (inverted) with a 3-year lag. Image: Morgan Stanley Research

Fed Funds Target Rate and VIX Is more volatility expected ahead? This great chart suggests that the Fed funds target rate leads VIX by 2 years. You may also like “VIX is in a Transitory State” and “The Yield Curve Leads Volatility by Three Years.” Image: Bloomberg, Jeffrey Kleintop

The Yield Curve Leads VIX (Volatility) by Three Years Is more volatility expected ahead? This chart suggests that the CBOE Volatility Index or VIX usually follows the U.S. 10-year vs. 3-month Treasury spread (inverted) with a 3-year lag. You may also like “VIX is in a Transitory State” and “Fed Funds Target Rate and VIX.”…

VIX & Yield Curve Cycle Since 2007 This chart also shows that we are in a late business cycle. The spread between the 30-year and the 3-month treasury yields is one of the most interesting spreads to watch. In recent history, a recession occurs about 12 to 18 months after the yield curve inverts. Image:…

S&P 500 1-Month Volatility History Since 1928 and VIX Since 1990 The stock market crash of 1929, the Black Monday of 1987 and the global financial crisis in 2008 were the most extreme events. Image: Goldman Sachs Global Investment Research

“Hedge Funds Are Shorting the VIX at a Rate Never Seen Before” -Bloomberg This certainly won’t not end well. Why do we never learn some lessons and repeat the same mistakes? Image: Hedgeye Risk Management LLC

S&P 500 Median Monthly Realized Volatility – Midterm Election Years vs. All Years Midterm years often bring a bump in S&P 500 volatility, as investors wait to see who controls Congress and what that means for taxes, regulation and spending before making bigger moves. Image: Goldman Sachs Global Investment Research