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SPY/VIX correlation

What it is

SPY/VIX correlation — registry key corr_spy_vix.

20-day rolling correlation; per-pair classification thresholds live in app/signals/correlations.py:PAIR_CONFIG (not band-reducible). Tracked in history; classification surfaces via the correlations composite component.

Data-pyramid tier

T1 — Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: correlations
Data source: computed

Derived metric — produced inside the platform (app/signals/correlations.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

20-day rolling Pearson correlation of daily SPY returns vs daily VIX returns. Returns derived from daily_signals.spy_close / daily_signals.vix_close. See app/signals/correlations.py:compute_rolling_correlations (pair spy_vix).

Where it surfaces

• API field: correlations.spy_vix.correlation on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)
• Surface: /signals/history time series
• Surface: /signals/sparklines (UI sparklines)
• Surface: change markers in the rendered report

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: intraday

See also

• /kb/api/get-signals-correlations — API endpoint that serves this field.