Goldman estimates the six‑month realized correlation among S&P 500 constituents
has dropped to 11 — the lowest in about 25 years, with comparable readings only
in Feb 2007 and Jan 2018. Low correlation reflects idiosyncratic stock moves
tied to AI, earnings and sector dynamics that offset one another and suppress
index realized volatility; Goldman cautions that a macro shock that
re-synchronizes stock moves could rapidly amplify index volatility as
diversification wanes. Cboe notes correlation spikes typically coincide with
higher systemic risk and tail volatility: in March 2026 one‑month implied
correlation rose from roughly 15 to 40, quickly pressing dispersion trades.
