"We just traded through the lowest realized correlation period in recent history … realized correlation across SPX over the last six months is 11, only two periods in the last 25 years have seen corr this … Feb 2007 (just before housing crisis) and Jan 2018 (just before “volmaged
Why it matters
Extremely low realized index correlation historically precedes volatility spikes, implying complacency risk for index-level positioning.
Details
"We just traded through the lowest realized correlation period in recent history … realized correlation across SPX over the last six months is 11, only two periods in the last 25 years have seen corr this … Feb 2007 (just before housing crisis) and Jan 2018 (just before “volmageddon”) … history book suggests levels this low are not sustainable and have ended in a starburst of index vol convexity" - GS S&T Brian Garrett
Sources
- x · 2026-09-08 02:38 UTC