CBOE Correlation Index - Do you use it?

C

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."

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.
 
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