Correlations closed the week at .37 nearing the lows prior to the last sell off.

Long term correlations remain near 1

Implied spreads remain ridiculously wide (albeit we are taking absolutes and not the ratio)

Implied realized spreads remain elevated.  Implied is not buying realized.

Convexity remains negative:

Our regime switch indicator is clustering:

Nothing tells us to be bullish here.  We think it would be fair to say the bear case is neutralized given a closed above the first regime switch signal (above).

Thanks and have a great week.