Correlations closed the week at .32 — still low.

Being long volatility remains extremely expensive with contango 0 percentile and VIX so high over realized volatility.  Still we think that riskout weighs reward but that has been clearly wrong for a while now.

You can’t be short volatility because of spikes like on Thursday and Friday and you also can’t be long because of extremely wide contango.  Nothing has changed.  No good setup in equities exist here.  The set-up with low correlations remains a slow grind higher with crash risk.

Thanks and have a great week.