Ticker symbols KCJ, ICJ, and JCJ are "rotated" as time elapses. For example, as of December 2016:
- KCJSM
- Jan 2018 maturity S&P 500 implied correlation
- Calculated using Jan 2018 equity options and Dec 2017 SPX options
- Quotation is suspended after the Nov 2017 SPX expiration
- ICJSM
- Jan 2019 maturity S&P 500 implied correlation
- Calculated using Jan 2019 equity options and Dec 2018 SPX options
- Quotation is suspended after the Nov 2018 SPX expiration
- JCJSM
- Not quoted until after the Nov 2017 SPX expiration
- Jan 2020 maturity S&P 500 implied correlation
The Cboe S&P 500 Implied Correlation Indexes may be used to provide trading signals for a strategy known as volatility dispersion (or correlation) trading. For example, a long volatility dispersion trade is characterized by selling at-the-money index option straddles and purchasing at-the-money straddles in options on index components. One interpretation of this strategy is that when implied correlation is high, index option premiums are rich relative to single-stock options. Therefore, it may be profitable to sell the rich index options and buy the relatively inexpensive equity options.
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