SPX6900 (SPX) is 12224.5× the size of VIX777 (VIX) by market capitalisation. Their daily returns move barely together (correlation 0.27 across 27 shared trading days). VIX has been the more volatile of the two, at 166% annualised against SPX's 115%.
VIXSPX
0.27over 27 shared trading days
Measured on daily returns rather than on prices. Two assets that both simply trend upward score near 1.0 on raw prices whether or not they move together, so returns are what answer the question people mean by correlation.
| Metric | VIX | SPX |
|---|---|---|
| Max drawdown (400d) | -85.6% | -43.7% |
| Risk-adjusted return (90d) | -0.09 | 0.05 |
Relative strength over 90 days: VIX outperformed SPX by 9.5% — measured on the VIX/SPX ratio, so it holds regardless of market direction.