implied correlation

Discussion in 'Options' started by johntsai90, Nov 5, 2009.

  1. i have came across with this term, does any one know what's implication of implied correlation? what kind of strategies could we been used based on that figure.

  2. MTE


    It's used in the context of a dispersion trade. Use the search here on ET and Google.
  3. Implied correlation is also periodically used in rates contexts. Not so much in the vanilla world, but more for various CMS options.
  4. Implied volatility is a better input in correlation calculation.
  5. Does anyone use this implied correlation to formulate any pair trading strategy?