Chart of the Month

Chart of the Month for November 2009
VIX is trending sideways and downward while the S&P 500 is rising!


This month we look at the trend in the VIX during 2009.

The VIX started the year at unsustainably high values due to the global financial crisis. During the second quarter, when investors around the world became more confident that the great depression II was not on the horizon, the VIX started its descent. By the fourth quarter, the VIX was back to historical average levels, which is where we find ourselves right now.

What about the S&P 500? When the VIX started to fall, the S&P 500 began to rise, and has continued to do so since then. While the VIX is moving sideways and slightly downward recently, the S&P 500 is also moving sideways but slightly upwards.

If you calculate the correlation between the 30 day moving average VIX and the level of the S&P 500 during 2009, the result is a correlation of
-.87!!!