Implied Correlation

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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