The Investable Correlation Index (CORRJ)     www.cboe.com/CORRJ

CORRJ 102.92 0.00 ICORJ 54.98 0.00 RCORJ 32.60 0.00

The Investable Correlation Index (CORRJ)

The CORRj Investable Correlation Index replicates the payoff of a variance-to-variance correlation trade. Calculated by CBOE, it uses delta-hedged listed options on SPX and the 50 largest stocks in SPX. Tied to January 2014 SPX options maturity and January 2014 stock options maturity.

Data