"Implied correlation almost always rises during earnings season"

1. Labor market differential. "Conference Board's labor differential moved down to 3.1 in July ... in the history of this index, it has never gone negative without the economy going into (or already being in) a recession".

2. Crude vs. crack spreads. "Don't expect much relief at the pump just yet. While oil is the motivating factor for a hike this week, note that the drop in crude oil prices has so far resulted in limited relief for wholesale gasoline. Crack spreads are still quite wide."

3. Growth vs. Value. “Growth has lost the lower end of the support range and is trading at its weakest relative level since April 2024. The leadership growth built over the past year is now being unwound. This chart now leans risk-off.”

4. Implied correlation seasonality. "There's much worry that low implied correlations will spike and create a Summer 2024 selloff/vix spike. True, the Fed + Iran are real macro risks. However, implied correlation almost always rises during earnings season. The key to a benign rise is constituent-level vol dropping".

5. Tech EPS beats. "Weird times for the Tech sector. On average (so far) this earnings season, a Tech stock that beats EPS estimates is underperforming the S&P 500 by 3.3% the day of/after reporting".

ICYMI