Risky Parity Panic Strikes As Correlations Crash To Record Low

zerohedge.com / by Tyler Durden / Nov 23, 2016 8:00 PM

Having exploded higher in the run-up to the election, market expectations of the correlation between stocks within the SP 500 have completely collapsed since to new record lows.

Simply put, massive systemic overlays were placed ahead of the election event, and were forced to be unwound increasingly aggressively as the post-Trump rally caught everyone offside (the unwind would mean relatively heavy selling of Index protection relative to single-name protection).