Correlations closed the week at .36.  Ticking higher week over week and close to the high of the range of the last month.

As we mentioned last week we favor downside over upside.  There is simply no upside convexity.

The danger for further upside is that VIX remains high.  The danger to any downside is that contango is very steep.  Just as it was last week there is no clear path on direction.  R/R seems unfavorable directionally in the term term for both further upside and downside.

Realized volatility is 9%.  Absolutely pitiful.

Contango is steep.  You can’t buy vol and seems risky to sell vol.  Nothing has changed week over week.  Something needs to break.  Either realized vol spikes or VIX comes down massively.  VIX is obviously not going to come down so we are stuck in this regime for a while longer until realized volatility comes up, it seems like the only probably outcome….

That is all, have a great week.

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