S&P 500 Implied Correlation Remains Elevated (70.56) As Volatility Subsides

March was truly a horrific month for employment and markets. But S&P 500 volatility is subsiding while the components of the S&P 500 remain at increased levels of implied correlation.

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Not surprisingly, JPMChase and Blackrock are highly correlated.

corre

The CBOE S&P 500 Implied Correlation Index measures 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 SPX.

Fed Chair Powell has upwards of $11.6 million invested with BlackRock, the firm that will manage a $750 billion corporate bond bailout program for the Fed.

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