From the CNBC website: "There's even an increasingly popular index that allows investors to buy options on correlationâthe 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." http://www.cnbc.com/id/39436297/ Anyone use this?
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.