• EconMatters
    04/27/2015 - 14:18
    If the DOJ and CFTC is going to be consistent, then they have to indict the entire financial community from the CME, Exchanges, Brokers, Institutions, Investment Banks, Hedge Funds, Management Funds...

Implied Correlation

Tyler Durden's picture

Implied Correlation Closes At All Time Record High





It was only Wednesday when we were lamenting the collapse of alpha after implied correlation hit an all time intraday high of just under 80. Well, today should be the day when all long/short funds are shutting down: implied corr just closed at an all time record high of 79.57, after also posting an absolute intraday record of 80.08. It is getting ever more obvious that stocks continue to trade more and more as just one asset class, as seen by the constant increase in JCJ below, which has risen almost 15% in this week alone. At this rate, every stock will trade just like every other stock in under 3 weeks when alpha is officially put to rest and stock dispersion has undergone an extinction level event (better known as HFT and ETF encroachment, in which it is the price that determines value and not the other way around).

 
Tyler Durden's picture

Surging Implied Correlation Tells An Ominous Tale





Over the last 3 days implied correlation has surged back to extreme levels as professional investors once again see rising correlation throughout 2010 - traditionally seen as an alternative reading to the VIX as amarket crash predictor. With the VIX still sustained at artificially low levels, keep a close eye on this indicator.

 
Tyler Durden's picture

Implied Correlation Hits New Six Month High





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.

 
Tyler Durden's picture

Implied Correlation Breaking Out





Could it be that after several months, the "sophisticated" investors are betting on a high-correlated event? One thing to keep in mind as one follows the meanderings of the VIX.

 
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