Clarification - for the past several weeks, the front two months in PJM financial swaps has been a real shit show.
Right now the PJM financial swap 5-year correlation to HHNG is now down to 86.8% and the PJM 2-year correlation to HHNG has plummeted down to +70.8% with a Z-Score of 1.79 Last summer at this time the 2-year correlation was about 90%. Correlation has now become cointegration with the PJM heat rates.