상관관계와 헤징에 대하여
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음의 상관관계를 가진 자산으로 효과적인 헤징을 하는 방법에 대해 여전히 고민 중입니다. 상관계수 외에 선호하는 방법이나 추적하는 특정 지표가 있으신가요? 특히 장중 $SPX와 $VIX 움직임을 볼 때요.
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.
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