All termsAdvanced Analysis and Market PositioningWorth knowing
Implied Correlation
Implied correlation is an estimate of the correlation among components of a basket or index inferred from option market pricing under a particular framework.
Why it matters to you
Index volatility depends partly on how strongly its constituent assets move together. Implied correlation can therefore provide insight into how the options market is pricing collective versus individual stock movement.
Terms that sit next to this one
Index Option