90 Day Vix Correlation

2021年3月29日

I had this signal 3 times in the last 3 years

2021年3月30日

註釋

Vix Correlation with the indices is a risk off signal. Using a 90 day period, this correlation has built up with a high level. Looking at the last 3 years this has happened 4 times, each time before a major crash.

( I am also including the Sep 2020 crash, it did not go red but is still a valid signal IMO).

Yellow : FXI
Green : IWM
Purple : QQQ
Red : SPY
Blue : DIA

Higher is higher risk.