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Ainda tentando entender como fazer um hedging eficaz com ativos negativamente correlacionados. Alguém tem um método preferido ou métricas específicas que acompanham além do próprio coeficiente de correlação, especialmente ao observar os movimentos intradiários de $SPX e $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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