Correlations closed the week at .61, effectively the median for the past 15 years and therefore completely normal. Correlations have clustered around this area for about two weeks now showing -.01 change week over week (and seen by the blue dots encapsulating the pink dot (Friday).
After the large bounce last week it would be appropriate to trim / trail short term risk. As of now our report shows no distinct bias in terms of volatility. It tells us that we cannot reasonably assume (based on the data we currently track) that realized volatility will be different than implied volatility (VIX). On a short term basis (VIX ST [9 days]), we can see the green dot between the 75th percentile and 50th percentile lines which indicates that market participants are under-pricing short term vol according to history.
In terms of price direction, a number of ratios we track show a continued bullish bias, though not overwhelmingly so. The 1m and 5 year correlation % rank imply we could be up an average of 1.55% ten days from now.
Finally, we will look to incorporate the liquidity signals in the PDF. Here is the liquidity signal we posted last week as of Friday’s close.
That is all for now, have a great week and we will update you if we see any significant developments in the data.