A lot of correlation. Generally, the greater the number of correlated markets the bigger the moves.
But not much bubbling up in the Lower Frequency models yet (which would point to a multiday event)
Some dislocations in Lower Frequency Volatility Stress
US: 09:00 am ct to 15:00 pm ct
Bullish above 159 14/32 (75% of time, +0.75 pts z 2.36)
ES: 09:00 am ct to 15:00 pm ct
Mixed (results not statistically significant)
“Out of sample testing is the peer-review” — Marcos Lopez de Prado