About

The implied volatility of the S&P 500 measured against the implied volatility of its members, shown as the DSPX / COR3M ratio. Use it to see whether index vol is cheap or rich vs single-name vol.

Instructions

Note a high ratio says the market fears one coordinated move more than it fears individual company events, so macro is in charge. Note a low ratio says single stocks price more risk than the index, which is the environment index vol sellers prefer. Watch the two lines diverge rather than either level alone.

Signals

• Extreme Setup - Ratio at window highs with COR3M in the basement. Highest decoupling stress.
• Decoupled Regime - Elevated ratio with low correlation index. Stock-picker's tape.
• Correlation Collapse - Implied correlation at window lows.
• Dispersion Lead - DSPX/COR3M elevated; idiosyncratic vol rich.
• Compressed - Low dispersion premium; macro lockstep.
• Neutral - Mid-range; no extreme skew.
• NO DATA - Insufficient dispersion history.