Fig.1 shows an intraday scatterplot of the DAX future against its volatility index VDAX on 6-Jan-2016.
The data suggest a strong negative correlation between the two.
There are various models available that "describe" this effect: For example stochastic vol-models such as the Heston model. However these models only describe but do not explain the effect.
Since prices are the result of trading and market-making, a plausible explanation could be that market participants are buying put-option when the market goes down in order to protect their (long) position thereby driving the vol up; and re-selling them when the market goes up (driving the vol down).
However it is easy to convince oneself that the correlation persists at time-scales that correspond to vol moves that make it difficult to trade out of the bid-offer spread of the option (at the ODAX-exchange). If it was only to reduce the downside risk (in a down move) it would be much cheaper to reduce ones long-position temporarily instead. Clearly options exhibit "gamma", but (as mentioned above) the cost of gamma seems too high given the bid-offer spread of the options.
So I do not really understand which market factors cause this intraday phenomenon of negative correlation between vol and spot moves.
Can anyone suggest an answer?