Short Term Correlations closed the week at .58, pretty much normal territory.

VIX is over realized volatility by 10 points, shown in the screenshot is every time above 8 points.  Historically this has not been bearish on an intermediate term.

The medium term mean is 4.09% compared to 2.24% for the SPY anytime return.  That is not to say there is not risk with multiple values falling in the -10 -20% range.

We are waiting for a sign that VIX is warning of something to come, and feel that it is inevitable heading into the election.  A blue dot indicates an elevated level of $VIX compared to average correlations which prints at both tops and bottoms.

Any more rotation will likely trigger this metric, given that VIX is unlikely to collapse.

Thanks and have a great week.

EN
ES EN