Why Stock Market Volatility Isn't Really as Low as It Appears
S&P 500 3-month implied correlation at lowest on record
MRA says 5-point correlation drop means 1-point VIX decline
Correlation, it’s sometimes said, equals volatility. An index can’t swing very much unless a lot of its members are going the same way.
So if you’re wondering why the CBOE Volatility Index has been so quiet lately, that’s part of it, according to Dean Curnutt, chief executive officer at Macro Risk Advisers. Stocks are charting independent courses under Donald Trump, and it’s holding broad measures of turbulence down.