The S&P 500 is now up 12.5% from the Bullard lows in mid-October and has broken to new record highs over 2048 – within 2 points of Goldman Sachs year-end target. Since Bullard’s comments, the S&P 500 has been up 19 days and down only 5 (and today will be the 23rd day in a row of closing above its 5-day moving-average – a record!) WTI crude oil prices are collapsing back to cycle lows below $75 but perhaps most notable is the plunge in ‘implied correlation’ – which measures the relative demand for individual stock protection over index macro protection. Implied correlation is at a record low – which suggests
capitulation among those with macro overlays (like Carl Icahn)…
S&P at record highs
Up 19, down only 5 since Bullard
As Oil collapses…
and Implied Correlation crashes to record lows as no one wants macro overlay protection any more…
Charts: Bloomberg
