The ‘Other’ Fear Index Just Flashed “Panic”
by Tyler Durden
ZeroHedge.com
Thu, 02/08/2018
As the world held its breath, in November 2016, for President Trump’s election, we noted that equity market implied correlation is flashing a ‘panic’ warning according to BMO quant Mark Steele as the little-known derivative indicator suggests traders fear a major ‘high correlation’ event and are aggressively hedging systemic risk.
And now, amid the massive unwind of the Short-Vol trade, implied correlation – the other fear index – is flashing red, as Bloomberg notes, the wild market fluctuations of recent days are sending bets for equity correlations to levels not seen since before the election (and Brexit).
Out of 505 S&P 500 Index stocks, a record 503 fell on Monday as the gauge experienced its worst decline since August 2011, and options markets are suggesting that extreme co-movement is likely to continue…
The Rest…HERE