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Implied Correlation Hits New Six Month High

Tyler Durden's picture




 

The implied correlation reading between all asset classes has hit a 6 month high at 65.50, a jump which mimics the surge in the VIX. High implied correlation readings are indicative of crash risk/expectations.

 

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Fri, 10/30/2009 - 13:31 | 115291 TraderMark
TraderMark's picture

Boo Yah!

No real support (other than governmental) until S&P 1020

if that breaks, 990

http://www.fundmymutualfund.com/2009/10/bookkeeping-added-some-short-hed...

 

If S&P falls 5% my prediction is ZH website crashes by joyous reader influx

Fri, 10/30/2009 - 13:33 | 115292 Cindy_Dies_In_T...
Cindy_Dies_In_The_End's picture

I'm sorry Trader, I see your Avatar and it always reminds me of Zombie Kool Aid on Robot Chicken:

 

"Ohh--YEAH" as he rips off heads.

 

sorry hehee

Fri, 10/30/2009 - 14:14 | 115333 MinnesotaNice
MinnesotaNice's picture

Geez... what the hell happened to the market during the 2 hours I was away from the screen... I hate it when I miss the 'good stuff' that I have been waiting the last 6 months for :-)

Fri, 10/30/2009 - 14:24 | 115344 Takingbets
Takingbets's picture

No shit, I had a doctors appt. this morning and missed all the fun! I hope to see lots more red in the weeks to come. Boo yahhh!! 

Fri, 10/30/2009 - 13:53 | 115306 chumbawamba
chumbawamba's picture

GOLD BITCHES!!!

I am Chumbawamba.

Fri, 10/30/2009 - 13:54 | 115309 waterdog
waterdog's picture

Oh come on guys, today is no different than the supermarket changing the sell by date on green ground beef.

Fri, 10/30/2009 - 20:31 | 115757 Anonymous
Anonymous's picture

Perfect 10.

We have adopted a new Level 3 Assert Pricing Policy that we like to call "Mark to Green Beef".

Fri, 10/30/2009 - 14:02 | 115319 lsbumblebee
lsbumblebee's picture

So THAT's what all the insider selling was about.

Damn it! Caught me off guard. I'd better consult "Getting Back to Even" by James J. Cramer.

Fri, 10/30/2009 - 14:47 | 115374 spekulatn
spekulatn's picture

Well done, Isbumblebee!

 

"MARK IT ZERO, DUDE"

Fri, 10/30/2009 - 14:04 | 115321 Anal_yst
Anal_yst's picture

what's the baseline here, i.e. is this a 0-100 reading or what?

Fri, 10/30/2009 - 14:28 | 115349 Daedal
Daedal's picture

Where's Spekulatin'? Civic duty calls, so I'll fill in.

Mark it ZERO!

 

Fri, 10/30/2009 - 14:49 | 115379 spekulatn
spekulatn's picture

Sorry Daedal, I was on the can, then I bought some more of the shinee stuff ;>}

 

"MARK IT ZERO, DUDE"

Fri, 10/30/2009 - 14:41 | 115364 Anonymous
Anonymous's picture

that's NOT what this index (the ICJ) shows. it is ONLY correlation within equity per CBOE:

Beginning in July 2009, CBOE will begin disseminating daily values for the CBOE S&P 500® Implied Correlation Index. The CBOE will disseminate two indexes tied to two different maturities – January 2010 (“ICJ”) and January 2011 (“JCJ”). Both ICJ and JCJ are measures
of the expected average correlation of price returns of S&P 500 Index components, implied through SPX option prices and prices of single-stock options on the 50 largest components of the SPX. Each day, CBOE will publish the index values four times per minute, and provide on its
website the market value weights of each of the top 50 stocks in the S&P 500 Index. Historical information dating back to 2007 will also be available.

Fri, 10/30/2009 - 15:54 | 115484 Anal_yst
Anal_yst's picture

thanks for clarifying

Fri, 10/30/2009 - 14:47 | 115375 surfer
surfer's picture

Is that bloomy chart a CIX or a function, transparency pls, CIX declare function whats behind??

 

BTW huge appreciation for the site as a interest rate trader youve been worth a (small) fortune

Fri, 10/30/2009 - 14:59 | 115397 Anonymous
Anonymous's picture

Dumb question I guess, but looking at that chart, how is 65.5 the 6 month high?

Fri, 10/30/2009 - 15:41 | 115469 reading
reading's picture

It's a 2 year chart...follow the red line back 6 months

Fri, 10/30/2009 - 17:38 | 115612 Anonymous
Anonymous's picture

Not as much crash risk expectations, as expectations that the S&P has become a commodity. There are no differences between any of the underlying stocks. All that matters is what the Fed does, and all the stocks react the same. The market no longer cares what individual firms are doing. Investing in a 'good company' is no longer meaningful.

Sat, 10/31/2009 - 02:46 | 115949 Anonymous
Anonymous's picture

ABSOLUTELY SPOT ON !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!

Do NOT follow this link or you will be banned from the site!