Returns are small When VIX goes up

When VIX goes up, returns tend to go down (see this article). 

* The returns on the S&P 500 and the returns on VIX (percentage changes in VIX) were correlated at -67%. The returns on EFA and EEM were correlated to VIX at -43% and -52% respectively. These are high negative correlations and show the danger signal of a rise in VIX.

* During the volatility spike, a very profitable strategy was to sell call options,