Not much to update this week as nothing has happened to validate or invalidate our thesis from last week.

Correlations are .3, slightly off the lows… long term correlations remain 1.

Virtually every print in VIX remains an outlier relative to correlations.  This is also reflected in the VIX realized spread (very wide at 11 points).

There remains no upside convexity.

The regime switch signal continues to cluster, continuing to warn. We continue to favor downside.

Thanks and have a great week.

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