S&P 500 Correlation Bets Increase as VIX Rebounds 32%
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Options traders are speculating the lockstep moves in U.S. equities that punished investors last year are on the way back as the benchmark volatility gauge posts its longest streak of increases since 2003.
The Chicago Board Options Exchange S&P 500 Implied Correlation Index rose 17 percent in 10 trading sessions to 68.14 today, rebounding from a 10-month low and posting the biggest gain since May, data compiled by Bloomberg show. The gauge uses options to measure expectations about whether Standard & Poor’s 500 Index stocks will move in unison. The Chicago Board Options Exchange Volatility Index, or VIX, has surged 32 percent since March 28.