Know Your Options

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Low VIX Strategies and Weak Market Correlations

Know Your Options

James joins Liz and Jenny for another episode of Know Your Options: Best of the Research Team. They discuss two recent Market Measures looking first at a VIX trading strategy and second at the relationship between VIX and the S&P 500.

Part 1

James runs Liz and Jenny through a backtesting study the team looked at last week. They analyzed tight Iron Fly spreads in the VIX. An interesting trade that Liz and Jenny had never considered before.

Part 2

Next they shift gears to look at a macro view of volatility and the market. We typically expect to see a strong negative correlation between the S&P 500 and the VIX index. However, last week this relationship became a weak negative correlation. The gang discuss whether this means anything to us moving forward.

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