Chart of the Day: Up Crash

The NDX is experiencing a rare positive correlation between price and implied volatility as tech markets 'crash higher.' Historical backtesting indicates that while this may cause short-term noise, it typically precedes strong one-month gains.

Key Takeaways

• 1.Equity markets have experienced a 'crash higher' over the last month, leading to a rare positive correlation between index spot prices and implied volatility (spot up vol up).
• 2.The Nasdaq 100 (NDX) has seen its spot vs call implied volatility correlation flip positive for only the fourth time in the last decade.
• 3.While some view this as an signal of an imminent market unwind, historical data suggests it is often followed by medium-term strength.

Table of Contents

• Key Observations
• Historical Backtest Table
• Notices to Investors

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