Equity Volatility Strategy Dispersion at the Extremes

This report analyzes record-high dispersion and record-low correlation in US Equities, comparing the current environment to the dot-com bubble. It provides trade ideas for tech-sector laggards and systemic correlation hedges.

Key Takeaways

• 1.Dispersion in volatility and spot returns has reached historical highs while correlation is at record lows, a dynamic last seen during the dot-com era.
• 2.Stocks that rally >100% in a month typically see short-term weakness (only 33% positive after 1 month) but show strong long-term performance (72% positive after 12 months).
• 3.The implied volatility spread between NVDA and its sector index (SMH) has collapsed to nearly zero, presenting a long-dated volatility spread opportunity.

Table of Contents

• Dispersion at Record Levels
• What Happens After 100% Returns In 1M
• Buy Correlation Without Correlation
• Appendix - Recent Publications

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