Implied Correlation Index

Learn more about the Implied Correlation Index Methodology

The Implied Correlation Index whitepaper describes the methodology underlying the Cboe S&P 500 Implied Correlation Index.

The index is structured to reflect changes in the relative premium between SPX index options and single-stock constituent options. Accounting for the implied volatility relationship between the SPX index option and a weighted basket portfolio of single-stock options, Cboe S&P 500 Implied Correlation Index measures the market’s expectations of index component correlation.

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Cboe Global Indices is a leader in the creation and dissemination of volatility and derivatives-based indices. We are at the forefront of creating an investment ecosystem that encompasses product design, calculation, administration, listing, trading, and benchmark licensing.

The information in this webpage is provided for general education and information purposes only. No statement(s) within this webpage should be construed as a recommendation to buy or sell a security [or futures contract, as applicable] or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this webpage is available by contacting Cboe Global Markets at www.cboe.com/Contact. Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of â€œCharacteristics and Risks of Standardized Options.â€ Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com. Past Performance is not indicative of future results. â€œCboeâ€ is a registered trademark and is a service mark of Cboe Exchange, Inc. All other trademarks and service marks are property of their respective owners.

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