Odd Volatility Correlations Mark Friday's Market Moves As 8 Sigma Event Registered

The Brexit vote led to odd volatility correlations.

Friday’s stock market volatility was unusual from several standpoints. Key volatility correlation breakdowns noted by several market analysis headlined the surprise result. The revolt by a slight majority of the UK electorate triggered a historic global risk off move, a Goldman Sachs options report notes. Asset returns were sharply “polarized” and the US VIX engaged in rather odd statistical behavior relative to the S&P 500 and European volatility.

VIX overshoots its stock market benchmark as options traders hedge . . .


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