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.