Correlations closed the week at .67, 60th percentile of the past 15 years and continuing to normalize – with VIX closing at 28.

VIX remains elevated relative to correlations (over 90th percentile).

The notable development this week is the VIX-VXV ratio where the VIX closed 3.68 points below VXV or 3.75 percentile – an extreme contango and as can see seen on the chart the most extreme since even before the sell off.  Also notably, the VIX closed at it’s lower bollinger band. Things are getting stretched here – at least on a short term basis.

We believe this indicates that any further gains will be retraced in the short term while extremes continue to work themselves out.

Thanks and Happy Mothers Day.