关于相关性和对冲
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我还在努力理解如何用负相关资产进行有效对冲。有没有人有偏好的方法或除了相关系数本身之外，还会跟踪的特定指标，尤其是在观察日内$SPX和$VIX走势时？
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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