Correlations closed the week at .59 (normal territory) with the sell off.

With the sell off nothing has actually changed from a volatility perspective, we think that means continuation is possible.

Implied less realized remains 99th percentile and implied contango 2nd percentile.

The forward return distribution has widened considerably with correlation spiking (to both upside and downside).

We would think correlation continues to increase, sell offs don’t usually resolve with correlation only spiking to the normal historical level.

Thanks and have a great week.

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