This week I review a volatile period of trading that has triggered notable degradation across market models and volatility curves. The discussion focuses on a flattening VIX futures curve, rising mega-cap correlations, and the market’s recent tendency to reject strong corporate earnings.
Topics explored this week:
- “Whippy” readings from the Heart Rate Variability and Early Warning System models throughout the week.
- The compression of the VIX futures curve and erosion of the structural insulation ahead of the July VX contract expiration.
- Rising 10-day correlations among mega-cap equities alongside a multi-day pickup in protective put demand.
- Negative price reactions to positive corporate updates across sector mainstays like Micron, TSMC, and ASML.
- A historic correlation dislocation building between the US Dollar Index and crude oil futures amidst extreme positioning.
Here we go!
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Disclamer: Not investment advice.
