3
votes
1answer
1k views

When the Inverse Correlation between the SPX and VIX breaks down

As we all know the S&P and its implied vol, the VIX, generally move in opposite direction. To a large extent, the correlations makes sense. IV is one of the main drivers of the price of options, ...
4
votes
1answer
376 views

What's the connection between implied vol curve of SPX and SPY?

I think there should be an obvious connection of the two implied vol curves from the SPX and SPY markets since the underlying of SPX is SP500, while the underlying of SPY is a ETF which tracks sp500 ...
4
votes
1answer
734 views

If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?

Question: if VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look? +60 or +30? Lets see if I'm on the right track: Premise 1: VIX is the ...