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Todavía estoy tratando de entender la cobertura efectiva con activos negativamente correlacionados. ¿Alguien tiene un método preferido o métricas específicas que rastree más allá del coeficiente de correlación en sí, particularmente al observar los movimientos intradiarios de $SPX y $VIX?
It's a tricky one because that correlation isn't always stable, especially intraday. Beyond just the coefficient, I look at the realized variance and skew of the ratio between the two, as that can give a better sense of how reliable the hedge has been historically and where it might break down.
For intraday SPX/VIX, I find tracking the spread between the VIX futures (front month) and spot VIX more useful than just the correlation. It often gives a clearer signal for potential short-term volatility spikes or dips, especially when considering hedging strategies.
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