Quando tutto è correlato il rischio di crash aumenta?

Si levano da più parti grida di allarme: la correlazione tra le azioni che compongono l'indice S&P500 e l'indice stesso è ai massimi storici, confrontabili solo a quelli che precedettero...il lunedì nero dell'ottobre 1987.

Ne parlò il Wall Street Journal del 12 luglio scorso, e di nuovo il 31 luglio osservando che the options market puts implied correlation at more than 80%, meaning that eight out of 10 stocks in the Standard & Poor's 500-stock index will move in the same direction as the index.
Typically, when stock-market volatility falls, as it has in the past few months, so does the overall market's implied correlation. Not this time.
The Chicago Board Options Exchange Volatility Index, or VIX, has fallen by almost half during the past three months. Yet the market's implied correlation has barely budged, falling from a high of 78% in May to 73% now, still well above its level of 56% in April, according to CBOE data.
In fact, the implied correlation for the S&P 500 is higher now than it was even during the peak of the financial crisis in early 2009.
Some of today's higher correlations could be permanent, a result of the huge shift in recent years toward ETFs and away from individual stocks.
Still, some pros are betting that correlations will fall.
"I'm surprised correlation has stayed this high," says Rajesh Malhotra, head of index trading, Americas, at Nomura Securities International. "At some point it should move back toward 50%."
One way the pros try to take advantage of high implied correlation is by using an arbitrage strategy called a dispersion trade: They buy options on an individual stock and sell options on an ETF. The bet is that the two will become less correlated over time.
A slightly easier way for ordinary investors to play the dispersion theme is by using a variation of a "covered call" strategy. Normally a covered call involves buying a stock and then selling a call option on that stock, giving the buyer the right to buy the stock if it hits a certain price.
By selling the call they get to collect a premium upfront, which helps protect against losses on the stock they bought. A covered call is a way to get some upside while protecting some on the downside.
To bet on dispersion, you can tweak the covered-call strategy slightly: You buy an individual stock and simultaneously sell a call on an ETF. Why? Because during periods of high implied correlation the premium on the ETF is typically higher than it would be for the individual stock, making the trade potentially more profitable.


L'indice CBOE di correlazione implicita al quale si fa riferimento è ancora vicino ai massimi di luglio-agosto: potete seguirne l'andamento qui oppure qui, e scaricare la serie giornaliera dal gennaio del 2007 qui. Se volete capire meglio come viene costruito potete leggere questo articolo che descrive la metodologia con la quale l'indice è stato costruito e viene calcolato.

Vi segnalo infine da Seeking Alpha questo post di TraderMark che discute gli stessi temi, attribuendo una buona parte della convergenza degli indici e tra azioni e indici al trading algoritmico e alla crescita del mercato degli ETF.