Email of the day (3)
on an addition to the Chart Library
"The CBOE has new index that calculates the correlation between stocks of the S&P 500 and publishes the value every 15 minutes. They have back history going back a couple of years. At times of fear the correlation between stocks increases. Is it possible to get a graph of this index? I do not know what the Bloomberg ticker is."
Eoin Treacy's view Thank you for this request. This link to the CBOE's website contains more information on how these indices are calculated. I have added the indices based on options with maturities in 2011 (JCJ) and 2012 (KCJ) to the Chart Library.
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