Despite decent earnings from U.S. companies in the quarterly reporting season, ongoing speculation on Europe’s finances has been escalating the swings in markets and stock exchange traded funds, bringing correlation among equities to the highest level during an earnings period, according to a report.

The Chicago Board Options Exchange S&P 500 Implied Correlation Index experienced its largest daily gain in two years this week, with a closing average since Oct. 11 of 78.21, the highest level for the first 16 days of a reporting season, report Jeff Kearns and Cecile Vannucci for Bloomberg.

In three of the last four trading sessions, over 400 stocks in the S&P 500 moved in lockstep as investors brought the overall market up when Eurozone leaders issued its new bailout plan and back down when Greece announced a vote for a referendum. In comparison, the last time stocks moved together like now was in October 1987. [Risk-On, Risk-Off Trades Drive S&P 500 ETFs]

“It’s been brutal,” Philip Orlando, chief equity market strategist at Federated Investors Inc., said in the article. “October was easy. It’s a little more difficult now given this knee-jerk reaction to the stunning Greek development over the last 24 hours. A lot of folks like us are trying to get our hands around this and figure out what it means.”

The CBOE Volatility Index, or VIX, has jumped this week, suggesting increased fear in the markets. [VIX, Volatility ETFs Come Back to Life]

“Even macro hedge fund managers are having a hard time, and these are supposed to be markets that they like,” Liam Dalton, chief executive officer of Axiom Capital Management Inc., said in the report.

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