Correlations closed the week at .24, 7th percentile of the past 15 years.

Regime switch signal continued to cluster.  There is really nothing new this week.

VIX remains insanely elevated to realized volatility and the futures curve remains absurdly steep.  This doesn’t make a super attractive long volatility or short volatility setup (both percent ranks are at opposite extremes).  On one hand vix is saying we think realized volatility should be much higher on the other hand the contango in the futures curve implies if you want to be long vol it is going to be *extremely* expensive.

That’s all for this week, while we still favor a risk-off regime it is costly in terms of volatility and has yet to materialize despite the risk being there for weeks.