S&P 500 Implied Correlation Index

From MarketsWiki
Jump to: navigation, search

The CBOE S&P 500 Implied Correlation Index is an estimate of the stocks comprised in the S&P 500 Index (SPX). It is market-based using options prices together with the price of options on the 50 largest stocks in the S&P 500 Index. [1]

References

  1. CBOE announces intraday calculation of implied correlation index based on the S&P 500 Index. CBOE Website.