Know Your Options

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Low VIX Strategies and Weak Market Correlations

Know Your Options

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in 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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