Correlations closed the week at .27 and 9th percentile, dropping off a cliff again.

This is generally indicative of lower future realized volatility…. but

IV-RV is no 0.  This has acted as a floor for the majority of the past year.  It would be unreasonable to expect IV to go lower.

Contango is <5th percentile but making lower highs.  It is still very expensive to own long vol via etns, but likewise we think spikes are likely.

We had a liquidity signal print on Friday indicating people reshuffling positions significantly.  We do not want to fade the next move.

Thanks and have a great week.

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