Tag Archives: Emerging Market Bonds
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…
- Categories Factors, Fixed Income
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Correlation Analysis of VIX® and High Yield and Emerging Market Bonds
The CBOE Volatility Index® (VIX) measures the implied volatility of the S&P 500® over a 30-day period. It is widely followed by market participants across asset classes to gauge market sentiment. Traditionally, fixed income market participants have incorporated it into macro analysis. Can VIX-related products be used as hedging tools for some bond sectors that…
- Categories Factors, Fixed Income
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- Categories
- Factors, Fixed Income
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