Tag Archives: VIX spot

Impact of Term Structure on VIX® Futures Correlation with Bond Sectors

Recently my colleague wrote about the correlation between VIX (spot and futures) and two credit sectors (high-yield and emerging market bonds).  The blog shows that VIX futures exhibit stronger negative correlation than VIX spot and that this stronger negative correlation of bonds to VIX futures than to VIX spot comes mostly from down markets.  In Read more […]

April: A Testing Month for VIX Traders

Shorting VIX® was among the top strategies in the past year.  XIV and SVXY both went up over 50% in Q1 2017 (~15% in March alone), almost doubled in the past six months, and returned ~180% over the past 12 months (see Exhibit 1).  However, the declining VIX spot level can only explain part of Read more […]