un autre indicateur basé sur la volatilité qui met en relation le SP500 et le VIX.
ceci est basé sur cet article:
je cite"SPX and VIX usually are negatively correlated.
Whenever this correlation starts to become positive,
it indicates that something is wrong underneath the market’s surface:
Options have become unnaturally expensive, which shows up
as rising implied volatility, and this is a fragile state that normalizes quickly
— often in the form of falling stock prices.
Using a 10-day SPX / VIX correlation threshold of .5 as a signal has flagged
major corrections (e.g. Volmageddon in 2018 and the Covid crash of 2020)
in the past years well in advance. While the indicator is sometimes
early by 6-8 weeks, it is interesting to note that we saw
lower prices than the signal date within 3 months in every
single instance.
That’s a very rare hit rate, which makes for an excellent
medium-term correction warning signal" Etat du signal
