Correlations closed the week at .83 the lowest point in the last 20 days, consistent with the decline in implied volatility.
The VIX is now back under it’s second standard deviation band for the level of correlations, and well under it’s second standard deviation band for the level of realized volatility.
Transactional liquidity conditions have improved, we printed 40th percentile on Thursday after being in the high 90s the entire sell off (ratio SPX component return to dollar volume).
Realized volatility has started to come in, from the low 90s at the start of the week to 87.58 as of close on Thursday. Despite realized volatility coming in, vix has decreased proportionately, as such the spread is the second most negative value we’ve seen.
This remains the theme as we kick off earnings, risk remains high.