Carry Unwind Picks Up As Intraday Asset Correlation Approaches 1
Asset correlations are high, which is never a good sign for a market as psychotic as this one. Stock weakness translating into UST and dollar strength almost tick for tick. Curiously, the 7 yr that saw such a vigorous reception yesterday is being sold off the heaviest on a duration adjusted basis.
The Yen is surging with the traditional carry pairs dropping. Cable about to break 1.60, and the euro is now below 1.39: dollar just pushed back to highest levels since July.