This week’s episode examines the divergence between the HRV and EWS models alongside a multi-year low in implied correlations. The discussion details the current volatility landscape, important correlations to watch, as well as shifting trends within credit markets.
Topics explored this week:
- The green zone recovery of the HRV model contrasted against an elevated EWS model reading.
- One-month implied correlations testing a 5-handle and the historical parallel to a prior “Yen carry trade” unwind.
- An emerging negative variance risk premium amid chronic “undervixing”.
- Rotational mechanics amongst the basket of tracked mega-cap stocks as well as the major equity indices.
- A correlation breakdown between the 10-year Treasury yield and the MOVE index.
- Credit market trends evaluated through baseline spreads and the rolling over of the LQD to IEF ratio.
Here we go!
Unlock the full analysis
Sign up to access it and receive actionable macro research.
No spam. Just macro research and risk management.
Disclamer: Not investment advice.
Unlock the full analysis
Sign up to access it and receive actionable macro research.
No spam. Just macro research and risk management.
Disclamer: Not investment advice.
