VIX vs. S&P500 Historical Vol

A while back I read at article about a correlation between the VIX and the SPX 20-day historical volatility. Since I am trying to do more work with quantmod, I decided to try and put it together - shouldn't take too long. I've included the code below and as you can see from the screen capture the guys at Goldman Sachs were right :)

## VIX discounted to SPX historical vol?
##
## A concern that I voiced last week has carried over into this week, as the CBOE
## Market Volatility Index (VIX – 54.28) is once again trading at a discount to
## the SPX's 20-day historical volatility. During the past several months, major
## market rallies have tended to occur after the VIX traded at a premium to the
## SPX's 20-day historical volatility. Moreover, the market's darkest moments
## during the past couple of months have occurred when the VIX trades at a steep
## discount to the SPX's 20-day historical volatility reading, which is the case now.
## -- http://www.forbes.com/2008/12/15/goldman-morgan-stanley-pf-ii-in_jh_1215outlook_inl.html
##
## output a graph and a file
## Author: Peter Michaels, (c) 2009
##
##

library(TTR)
library(quantmod)

SnP500_tick <- "^GSPC" #yahoo symbol for the S&P500 index
VIX_tick <- "^VIX" #yahoo symbolc for the VIX index
histVolPeriod <- 20

snpIndexData <- getSymbols(SnP500_tick,from=Sys.Date() - 365,to=Sys.Date(),auto.assign = FALSE)

vixIndexData <- getSymbols(VIX_tick, from=Sys.Date() - 365,to=Sys.Date(),auto.assign = FALSE) # calculate the 20-day historical volatility of S&P500

snpHistVol <- rollapply(snpIndexData, histVolPeriod, sd, by = 1,ascending = TRUE,by.column = TRUE, na.pad = TRUE) # graph the VIX + S&P500 20-day historical vol

chartSeries(Cl(vixIndexData), name="VIX vs. S&P500 Hist Vol", col='green', TA=NULL)
addTA(Cl(snpHistVol), col ='red', on=1) # graph S&P500 + SMA to detect rallies

addTA(Cl(snpIndexData), col='blue')
addSMA(n=10, overlay=TRUE, col='red', on=2)

The picture above shows:
top chart, the VIX (green) and the 20-day historical volatility of the S&P500 (red) - ooohh the gap is narrowing once again, perhaps it's time to take profits
bottom chart, daily S&P500 closing (blue) and a 10-day SMA to better display rallies

So far I am loving quantmod, my only complaints are inability to label graphs properly and automate saving to a file. Perhaps I just haven't discovered how to yet.