Why the VIX Stays Low: Blame Correlation

Authors: @DrewMPettit @ThomasDiFazio @MazzaDave Summary Last week felt worse than it was for the S&P 500. Low correlation across stocks is suppressing both realized and implied volatility. Average

Authors: @DrewMPettit @ThomasDiFazio @MazzaDave Summary Last week felt worse than it was for the S&P 500. Low correlation across stocks is suppressing both realized and implied volatility. Average pairwise correlation across S&P 500 industries sits near five-year lows, so does implied correlation. Selling index options has less bang for the buck than comparable single stock options. We see single stock or short-term index overwriting as relatively more attractive for income, and diversification