Market Measures - January 6, 2021 - VIX Variability & Short Delta
On average, when the market goes up, the VIX moves down, but with less magnitude than when the market moves down and VIX moves up.
Since the probability of VIX and SPY moving inversely of each other is 80%, having short deltas on in our portfolio will serve to reduce portfolio volatility 80% of the time.