https://www.moneymetals.com/news/2017/07/06/frustrated-gold-silver-investors-001108
There’s no coincidence that the gold price peaked at the same time the EPU – Economic Policy Uncertainty index decoupled from the VIX, shown at the end of 2011. The market has been deluded to believe that GOLD DOESN’T MATTER anymore. This is shown in VIX index, as it continues to trend lower to the same level in 2007… before all hell broke lose in the markets:
Intuitively, when VIX is in tune with EPU, the market is acknowledging the levels of risk through the prices. However, when VIX is low and EPU high, markets are complacent – they are underpricing risk.
After 2011, the two measures of risk decouple with VIX consistently low despite growing uncertainty. The breakdown is structural, and it is visible across all market sectors, not only equities.