VIX-SPX Correlation

VIX-SPX Correlation of Daily Moves

Of course, VIX and S&P500 generally move in opposite directions, but the correlation is far from -1.

Correlation of daily percentage moves of the VIX index and S&P500 has been about -0.70 when calculated on the entire available history of VIX data (1990-2013). When calculated only for the last 10 years (2004-2013) it is -0.75.

The correlation is closer to -1 when measuring daily VIX changes in points rather than percent (for S&P500 we still take percentage changes). It is -0.79 (1990-2013) and -0.84 (2004-2013). However, this is not a rule and in some years the correlation for VIX point changes is less negative than the correlation for VIX percentage changes (see table of correlations by year below on this page).

VIX-SPX Correlation Chart

The correlation of VIX and S&P500 is not stable over time. On the chart below you can see the trailing 252-day correlation of VIX and S&P500 daily percentage changes (the green line). Although it stayed safely in the negative territory the whole time, it fluctuated between -0.40 and -0.90.

VIX-SPX 252-day Trailing Correlation of Daily % Moves

It appears that on average the correlation of VIX and SPX became more negative (closer to -1) in the last decade, compared to the 1990’s. It is hard to say how much this is just a coincidence, how much it was caused by the higher volatility in VIX values (not higher VIX itself – the average VIX value is very similar, just above 20), and how much can be attributed to the indisputable structural change in global volatility markets (the introduction and increasing trading volumes of VIX derivatives – futures, options, and ETFs/ETNs).

VIX-SPX Correlation in Individual Years

Correlations of Daily VIX and SPX Changes

As you can see in the table, there are big differences in the correlations calculated for individual years. It might appear that the correlation of VIX and S&P500 changes is closer to -1 during periods of higher VIX values. However, this is far from a universal rule. You can find years with low average VIX value and highly negative correlation (such as 2013 so far), as well as years with high average VIX value and relatively smaller (further from -1) correlation (such as 2009).

The correlation of (1) average VIX value and (2) VIX-SPX correlation in the last 252 days is -0.43, an obvious relationship but far from a universal rule.

VIX-SPX Correlation and Average VIX Value

The chart below shows how the trailing 252-day VIX-SPX correlation relates to the trailing 252-day average of VIX closing value.

VIX-SPX 252-day Trailing Correlation of Daily % Moves and 252-day Average VIX

Related pages

stock price volatility calculationvariance calculation in exceloptions expiration calendariron butterfly optionoption delta hedgingkurtosis calculationweighted average unit cost formulaexcess kurtosisprotective put payoffultra etfcall option payoff grapharithmetic mean return formulan d1 calculatorshort vixkurtosis tradingwhat does macd measurevix short etfstandard deviation formula derivationhedge fund traderslifo fifo weighted averagemini futures contractssec 13f listmacd buy signalwacc weighted average cost of capitalcalculate standard deviation using excelformula for calculating variance in statisticsadvantages of moving averagestrading vix optionsincentric valuestd deviation definitionstandard deviation in mathsinverse vix etfformula for population meanoption straddle strategypayoff charthow to calculate formula in exceloption payoff diagram generatoroption profit calculatorwhat is sharpe ratio with examples&p 2x etfoption greeks explainedvix etfshow to calculate averages in excelaapl stock historyspx vixyahoo finance spreadsheetexcel exponential formulavix bloombergberkshire hathaway hedge fundvix averageannualized standard deviation formulahow to calculate ending inventory using average costforex volatility chartweighted average cost of inventory formulavariance calculation excelfree float market capitalisationvixy.comhow to find population mean in excelbloomberg vixformula for sample variance in statisticssec form 13 fprofit loss calculator optionsnormsdist calculatorsp futures bloomberg13f filings searchstandard deviation in mathshow to calculate square root in excelipath s&p 500 vix short-term futures etnvolatility avgyahoo finance stock quotes in excelsharpe ratio excelannualize daily returnshow to calculate intrinsic value of stock optionsblack scholes tutorialgeometric mean on exceltrading vix options