CBOE Correlation Index - Do you use it?

Discussion in 'Options' started by Candace, Oct 27, 2010.

  1. Candace


    From the CNBC website:

    "There's even an increasingly popular index that allows investors to buy options on correlation—the CBOE Correlation Index [JCJ 62.8 -0.40 (-0.63%) ], which is 2 years old and gauges correlation by looking at contracts on the entire S&P 500 index against those on individual contracts. HSBC says the index may soon overtake the CBOE's Volatility Index [VIX 20.71 0.49 (+2.42%) ] in popularity as a market indicator. The index had been near all-time highs in September though it has eased a bit in October."


    Anyone use this?
  2. Very interesting. Something else to investigate.
    Graph doesn't show a lot of obvious correlation(!) to market direction, although on the flash crash day I see a big spike up, as you might expect.