volatility correlations
I'm a little late pointing this out but just something I'm watching is SPX - volatility movements.. The gray lines here are times I noticed where the prev 10d correlations between SPX and volatility products were all relatively strongly positive. When the price of SPX and the price of volatility move up together in an uptrend it has historically been a warning sign, not really sure why it happens tho just something to watch potentially if you're long.
I guess it' also worth noting that while this sort of thing preceded volmeggadon 2018, the potential for a much larger SPX price correction just grows larger as valuations get more and more disconnected from fair value imo. Eventually I think things like using GAAP earnings and realistic unbiased forward estimates in PE ratio calculations and models like the Buffet Indicator will be what investors turn to in time of panic
or maybe I am simply wrong again, who knows anything, just all seems very crazy to me. Good luck everyone
I guess it' also worth noting that while this sort of thing preceded volmeggadon 2018, the potential for a much larger SPX price correction just grows larger as valuations get more and more disconnected from fair value imo. Eventually I think things like using GAAP earnings and realistic unbiased forward estimates in PE ratio calculations and models like the Buffet Indicator will be what investors turn to in time of panic
or maybe I am simply wrong again, who knows anything, just all seems very crazy to me. Good luck everyone
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