相関とヘッジについて
原文から自動翻訳 · 原文を読む (English)
負の相関を持つ資産を使った効果的なヘッジについて、まだ理解を深めようとしています。相関係数自体を超えて、特に日中の$SPXと$VIXの動きを見る際に、好みの方法や追跡している特定の指標はありますか？
2 comments · 3 points
STu/smoke_tester·10h
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.
EEu/emerging_eva·10h
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.
元のスレッドで議論に参加 →
Traderforum · 日本語