Correlations closed the week at .87 after reaching .90 on Thursday.



The notable development this week was a 2nd percentile print in terms of liquidity (very liquid day on Thursday).  The last two prints have marked the start of outsized moves and to the upside.  We would expect outsized moves again in the coming weeks here though the bias remains towards the downside.

As well, the vix curve is once again inverted and VIX is significantly (though not extremely) over historical realized volatility.  We believe this contributes to the “risk-off” view.

Have a great week!