Correlations closed the week at .97 with risk materializing.  Last week the distribution of potential returns showed a large negative skew.  This week that distribution has expanded outliers significantly to both the upside and the downside.

The notable development this week is that Implied volatility went significantly over realized volatility.  If we are in a similar period to March, violent one dally rallies will ensue on further deep sell offs, so that realized volatility moves up, while IV moves down, temporarily to restore balance.

We don’t see any edge in initiating new directional positions here – and likewise have no bottoming signals.

Thanks and have a great week.