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.
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 for Trade Date: 06-August-08 | | 17-Jan-09 | 16-Jan-10 |
| 23.23 | 27.64 |
| SPX Volatility for Trade Date: 06-August-08 | | 20-Dec-08 | 19-Dec-09 |
| 20.73% | 21.83% |
| N/A | N/A |
| Equity Volatility for Trade Date: 06-August-08 | | Ticker Symbol | 17-Jan-09 | 16-Jan-10 |
| AAPL
|
44.05% | 46.37% |
| ABT
|
25.10% | 25.79% |
| AIG
|
58.23% | 51.62% |
| AMGN
|
32.36% | 31.46% |
| BAC
|
51.18% | 45.77% |
| BUD
|
6.86% | 3.53% |
| C
|
50.15% | 45.91% |
| CMCSA
|
34.44% | 33.32% |
| COP
|
32.65% | 32.99% |
| CSCO
|
32.84% | 40.53% |
| CVS
|
30.63% | 29.38% |
| CVX
|
28.04% | 26.30% |
| DELL
|
29.03% | 34.01% |
| DIS
|
27.72% | 29.32% |
| EXC
|
30.06% | 29.84% |
| GE
|
26.26% | 27.07% |
| GILD
|
34.59% | 34.49% |
| GOOG
|
36.43% | 36.11% |
| GS
|
40.53% | 38.19% |
| HPQ
|
29.94% | 30.84% |
| IBM
|
24.87% | 25.63% |
| INTC
|
34.79% | 34.67% |
| JNJ
|
17.27% | 17.34% |
| JPM
|
43.60% | 40.18% |
| KFT
|
22.22% | 24.37% |
| KO
|
22.12% | 23.11% |
| MCD
|
24.70% | 25.75% |
| MDT
|
24.29% | 24.00% |
| MMM
|
24.48% | 24.64% |
| MON
|
48.89% | 47.01% |
| MRK
|
34.29% | 32.86% |
| MSFT
|
29.83% | 30.97% |
| ORCL
|
29.82% | 35.20% |
| OXY
|
43.30% | 41.96% |
| PEP
|
19.52% | 20.40% |
| PFE
|
27.17% | 26.64% |
| PG
|
18.35% | 19.61% |
| PM
|
22.42% | 25.91% |
| QCOM
|
35.08% | 37.05% |
| SLB
|
40.28% | 38.88% |
| T
|
30.31% | 30.50% |
| TWX
|
30.79% | 29.31% |
| UPS
|
27.36% | 26.80% |
| USB
|
37.61% | 35.36% |
| UTX
|
28.28% | 27.54% |
| VZ
|
29.09% | 29.89% |
| WFC
|
48.43% | 42.14% |
| WMT
|
26.60% | 27.44% |
| WYE
|
32.34% | 29.03% |
| XOM
|
27.88% | 27.88% |
Data is current as of: 8/6/2008
|
|
Implied Correlation historical data
|