CBOE S&P 500 Implied Correlation Index

The CBOE S&P 500 ® Implied Correlation Index measures expected average correlation of the S&P 500 using SPX option implied volatilities and a weighted portfolio of the implied volatilities of options on stocks in an SPX “tracking basket,” a subset of the S&P 500 comprised of the 50 largest components as measured by market capitalization. ................
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