Posted by timebandit on 12th of Aug 2022 at 03:03 pm
Here is a 3-year look at $VVIX with occurrences marked with
vertical blue lines where it was as uncorrelated as it is now
(-0.75 or greater). You can see that evcen when this occurred near
a top in the market, it often didn't occur immediately. I marked
the occurrence in Jan 2020 with a thicker line, because $VVIX price
was about what it is now.
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Here is a 3-year look
VVIX uncorrelated seems to be a few days early ...
Posted by timebandit on 12th of Aug 2022 at 03:03 pm
Here is a 3-year look at $VVIX with occurrences marked with vertical blue lines where it was as uncorrelated as it is now (-0.75 or greater). You can see that evcen when this occurred near a top in the market, it often didn't occur immediately. I marked the occurrence in Jan 2020 with a thicker line, because $VVIX price was about what it is now.