Equity index options are about as evenly priced as they’ve been in some time [5,6], but another continuation of the intermediate-term rally would mean more disappointment for option buyers, especially those who entered new positions in early November.
The ratio of short-and long-term (Jan 2010 vs. Jan 2011) implied correlation is getting noisier, but is also challenging its lows for the year. At the Volatility Trading Summit earlier this month, several participants voiced expectations for abnormally high implied correlation for the foreseeable future; even so, relative to an environment in which the dollar flood lifts all boats, if the ratio at  is correct, accurate stock-picking may begin to matter more that it has since the financial crisis began.
Crude oil continues to trade within a range $76-$81 range since its run higher in early October. Oil futures marked a lower low for this range, and I’ll reiterate my call from last week: a decisive move lower can best be played by being net long options. [15,16] Whether anyone should expect a decisive move lower in oil is another matter.