Premium"Correlated With Almost Nothing But Itself": Goldman's Top Derivs Trader Says S&P Is No Longer The Clearing Price For Risk
For most of modern market history, the S&P 500 did one job: it was the place where every other risk – rates, oil, credit, the consumer – eventually got priced. But according to Goldman's top derivatives trader, it has quietly quit that job.
"This week made it even more clear that SPX spot is no longer behaving like the clearing price for risk," Goldman derivatives guru Brian Garrett, writes in his latest Weekend Prep note (available to pro subs here), adding that correlations "across almost everything have broken down" vs the S&P, which "seems to be increasingly correlated with almost nothing but itself" – and even then, he notes, "it's a stretch eq weight vs mkt cap."