fra GS:
Upside down volatility |
SPX and VIX spot tend to move with a negative correlation, but lately things have been rather extreme. GS derivatives team writes: ” 10 day realized correlation is +0.61 (positive) … this is in sharp contrast to the average realized correlation over the past 30 years, which stands at -0.78 (negative).” This is not your normal vol environment. |
GS |