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The CBOE® S&P 500® Implied Correlation Index

CBOE S&P 500 Implied Correlation Index - ICJ  CBOE S&P 500 Implied Correlation Index - JCJ

The Chicago Board Options Exchange (CBOE) announced today that beginning on Wednesday, June 4, 2008, the Exchange will begin publishing data associated with a new volatility-related benchmark index, the CBOE S&P 500 Implied Correlation Index tied to two different option maturities - January 2009 (ticker symbol ICJ) and January 2010 (ticker symbol JCJ). The ICJ and JCJ are measures of the expected average correlation of price returns of S&P 500 Index components, implied through SPX option prices and prices of single-stock options on the 50 largest components of the SPX.

Each day, CBOE will publish the index values, and provide on its website the correlation index input values; i.e. the implied volatilities for SPX options and options on each of the top 50 stocks in the S&P 500 Index. Historical information dating back to 2003 will also be available. The following is a brief description of how the ICJ and JCJ are determined.

CBOE S&P 500 Implied Correlation Index Paper



Derivation of the CBOE S&P 500 Implied Correlation Index

An index measures the value of a diversified holding of assets. In the case of a stock index such as the S&P 500, the assets are 500 individual stocks that are among the largest and most actively traded in the world. Generally, the price of an index is given by:








Implied Correlation Historical Data




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