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The following is a table showing the 5- and 20-session log-return correlations of the ETFs and CEFs to the CBOE VIX volatility index.

Score is a weighted average of the 5- and 20-session correlations, with the 5-day weighted 30% and the 20-day weighted 70%.

vix volatility

As you can see easily, the majority of the funds present are treasury assets of various maturities and short funds. Notable amongst these, however, is FXY, the CurrencyShares Yen Trust. Though speculation over the carry trade has proven spotty at best over the past year, it seems reasonable to accept this as some evidence of unwinding carry trade.

Source: Top Twenty VIX Proxy ETFs/CEFs