We look at dozens of correlations and anti-correlations per week but this was one we missed.
When dealing with this kind of stuff keep the old traders lament in mind:
"As soon as you think you've found the key, they go and change the lock".From Agrimoney:
Rabobank flags Vix-aid as crop sell-off continues
The so-called "fear index", the Vix, could help guide agricultural commodity investors through the market mayhem by increasing understanding of currency moves, Rabobank said, as the liquidation wave extended into Friday.This month's revival in the dollar has been viewed as a key contributor to the sell-off in raw materials even for those in which demand has looked relatively strong, in making US commodities less competitive against those priced in depreciating currencies."Despite the break in US futures prices, Brazilian producers are still able to offer soybeans at near record prices," Brian Henry at Benson Quinn Commodities said, noting talk that China bought more than 1m tonnes of South American soybeans this week in two days.And the Vix in turn, as a measure of market volatility and investor panic, provides a useful measure of investors' enthusiasm for flooding into the dollar, viewed as a safe haven in times of market panic.'Strong inverse correlation'"If panic in the markets, as demonstrated by the Vix index, remains elevated, this will place continued pressure on non-US dollar currencies," Rabobank said.If so, "the advantage gained by South American, and other emerging market, exporters will likely persist in the near-term".The bank highlighted in particular the Brazilian real's "strong inverse correlation" with the Vix "when markets are at their extremes".The real's strength is important not just for soybeans, but the likes of coffee and sugar, of which Brazil is the main exporter....MORE