Mott Capital Management Investing Group Leader

Summary

Implied dispersion is elevated but not extreme, limiting the usual pre-earnings market lift and signaling potential for rising correlation post-earnings.

Dispersion and correlation are expected to mean-revert after earnings, likely pushing the VIX higher and adding pressure on the S&P 500.

Elevated implied volatility suggests the S&P 500 may struggle to move higher, favoring a range-bound market with sector rotation.

A rise in implied correlation and market breadth could signal an impending broad market decline rather than healthy expansion.

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One thing that seems different this quarter from recent quarters is that implied dispersion is elevated, but not nearly as elevated as in previous quarters.…