Correlations closed the week at .71.  Higher (high) correlation always indicates higher risk to direction in the short term.

Realized volatility spread to implied vols is not stretched by any means.  That has been the pattern on this sell off, zig-zagging (shown below) between extremes on an all time basis and then backing off.  But never extremes on all timeframes.

The difference between the other 2021 and 2021 sell offs is that we have not shown extreme fear leading to quick bottoms.  We would like to see the below chart show all timeframes at 100pct to think a durable low has been made.  We think that is most probably instead of just going up up and away.

Normally we see big illiquid prints on down days, but in this sell off we have seen illiquid prints on up days (indicating little participation in the upside). Friday printed 96th percentile.

We believe that in the short term risk reward favors the downside.  When the data suggests otherwise we will highlight it.

Thanks and have a great week.

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