Correlations closed .32, still a low volatility, low risk environment increasing just .09 week over week. Friday marked the 10th day of our statistical studies mentioned in the last two weekly recap and despite a rocky ride we closed up near 1% from the 29th of December.
As of now, correlations and realized Vs. implied volatility show no statistical bias – however the $VIX:$VXV ratio %s in the 1 and 2 year ranges show a bullish bias out ten days again of around a mean of 1% higher than the close on Friday.
This was supported by our vix bias chart which showed a low percentile for the majority of the week – but which has now turned decidedly normal sitting as 50 percentile.
We would not at all be surprised to see some weakness early on this week however as of our reading given the current data we maintain that we are in a dip-buying environment.
We will update you if this analysis changes materially.