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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
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Data Set
| Dataset Name | Dataset Description | Data Format | Publishing Frequency |
|---|---|---|---|
| Stock Correlation | Equity 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. | CSV | Weekday |
| Equity Index Correlation | Equity 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. | CSV | Weekday |
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