Correlations closed the week at .7.

VIX-Realized has completely normalized and any further rally will turn it negative… That would be an underpricing of volatility from lower levels and would warrant caution.

This week was particularly odd, we saw two of the most illquid days (of the past 50) as well as one of the most liquid – as defined as dollar volume per price change in % aggregated over SP500 stocks.

We think the most important thing to look for is a decrease of vix under realized volatility as a warning, otherwise upside seems probable.

Thanks and have a great week.