Friday, May 15, 2009

Today's Movement on the VIX Compared to the S & P 500: Negative Correlation

Today is another negative correlation day, with the S & P down 1.4% at around 2 o'clock CST and the VIX is up 6.28% to 33.34.  The 30 level is considered important in the VIX Asset Model, though no where near as important as 20, the critical demarcation line between the stable and unstable patterns in the Vix Model.   The intra-day chart of the VIX shows a bottom at 30.61 at 10.41 a.m. CST, and then a sharp turn up.  That minute, I believe, corresponded to the high mark for the S & P 500 today at 896.56.  

No comments:

Post a Comment