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.
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.
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.