SPY/VIX Correlation

The rolling correlation of SPY and the VIX has been become much less negative over the past two months. The plots above show the 15 day rolling correlation of SPY and the VIX index. The spikes to less negative levels tend to occur prior to the market going sideways to down. The longer term average rolling correlation is -80%. The present correlation of -70% is at an extreme considering the last two years, but is less so when looking at the last eight years.