Ten day correlations closed the week at .65, continuing lower. Near outlier territory the model shows that vix should be significantly lower. Similarly to last time we will watch for a regime switch signal to identify that VIX is warning. As of now it is not.

VIX-VXV spread contango is wide which generally signals lower volatility, albeit the spread is coming from higher levels.

Until the regime switch signals again, we think the trend continues.

Thanks and have a great week.

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