index for implied correlation

Aman · February 8th, 2005, 10:31 pm

Is there any index for implied correlation? or not?I ran into some papers about implied volatility index, however, not a public index.if any of you know about this, let me know.thanks.

Watchman · February 9th, 2005, 8:47 am

There is no index for implied correlation that I know of - if there is I'd be very interested to learn of it.If you're looking at equities you can get some idea of implied correlations from options prices on the index and the index components, or from broker quotes for dispersion trades (index straddles vs component straddles). If you search the forum for "dispersion" you'll probably find some stuff on this.