20-day rolling correlations and annualised volatility across the futures complex, dollar, gold, oil and BTC. Free, no signup, no affiliate links.
| ES | NQ | RTY | DXY | GOLD | CRUDE | BTC | |
|---|---|---|---|---|---|---|---|
| ES | — | +0.94 | +0.91 | -0.72 | +0.69 | -0.31 | +0.50 |
| NQ | +0.94 | — | +0.85 | -0.62 | +0.58 | -0.17 | +0.57 |
| RTY | +0.91 | +0.85 | — | -0.74 | +0.58 | -0.47 | +0.55 |
| DXY | -0.72 | -0.62 | -0.74 | — | -0.59 | +0.32 | -0.42 |
| GOLD | +0.69 | +0.58 | +0.58 | -0.59 | — | -0.36 | +0.29 |
| CRUDE | -0.31 | -0.17 | -0.47 | +0.32 | -0.36 | — | -0.36 |
| BTC | +0.50 | +0.57 | +0.55 | -0.42 | +0.29 | -0.36 | — |
How much each instrument has actually moved over the last month, expressed as annualised standard deviation of daily returns. The arrow compares the latest 20-day window against the previous 20-day window — ↑ means vol is expanding, ↓ contracting.
Reading this: Green bars (<25%) are quiet. Gold (25-50%) is normal trading-vol. Red (>50%) means moves of 3% in a single session are common — adjust position size accordingly. Crude and BTC are structurally higher than equity indices; that's normal, not an alert.
Correlations tell you what is moving with what. A +0.7 between NQ and ES means a long-NQ short-ES pair is mostly hedged — bad pair-trade idea, good context for sizing the same way on both. A -0.6 between DXY and ES means dollar moves are an early warning for equities.
Volatility tells you how much room you need. A 1R stop in a 15%-vol regime is half the size it needs to be in a 30%-vol regime. If you do not widen your stops with vol, you become a noise filter for the market — getting tagged on routine moves.
Correlations break under stress. The 20-day numbers above are a fair-weather guide. In a crisis (VIX above 35) almost everything correlates with everything else — diversification fails when you need it most. The single best protection in those regimes is smaller size.
20-trading-day rolling correlation of daily close-to-close percentage returns. Vol = std-dev of returns × √252. Data: ES/NQ/RTY/Gold/Crude continuous front-month futures (Yahoo Finance, =F suffix), DXY (ICE), VIX (CBOE), BTC (USD spot). Cross-asset days aligned to the equity-futures calendar.
Not advice. This dashboard describes recent statistical relationships between markets. It is not a forecast and not a trade recommendation. Past correlations break; they are most useful as a context layer over your own setups, not as a signal in themselves.
Sizing for the current vol regime, accepting that correlations cluster under stress, and respecting your daily loss limit — that is the discipline that keeps you in the game when the matrix above turns red.
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