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!
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