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.
Historical CORRj Index Closing Level
Historical ICORRj Index Closing Level
Historical RCORRj Index Closing Level
Daily Implied Volatility
Daily Realized Volatility