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Equity Correlation

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Equity Index - index implied correlation for over 100 pairs. Implied correlation levels are available on an monthly basis at Month-End.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy

Keywords

  • Equity
  • EQ
  • Equity Index
  • Correlation
  • Equity Forward
  • Corr
  • Index
  • EquityIdx
  • EqIdx
  • Implied
  • Pairwise
  • Single Name
  • Equity Stock
Interested in this data? Download free data samples, dictionaries and documentation

Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
Stock CorrelationEquity implied correlations are a hard-to-observe but important dataset in the pricing of option baskets. The IHS Markit OTC Derivatives Data product has developed a methodology which combines the equity stock implied vanilla volatilities and contributed price data on basket option trades which allow us to derive implied correlation between specific pairs. Stock-stock correlation is available for a large set of pairs and sampled for the 3Y term. Correlation data are available as a Month-End only service.CSVWeekday
Equity Index CorrelationEquity Index implied correlations are a hard-to-observe but important dataset in the pricing of option baskets. The IHS Markit OTC Derivatives Data product has developed a methodology which combines equity index implied vanilla volatilities and contributed price data on basket option trades which allow us to derive implied correlation between specific pairs. Index-index correlation is available for a large set of pairs and sampled for the 2Y term. Correlation data are available as a Month-End only service.CSVWeekday
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