The Chicago Board Options Exchange (CBOE) today announced that it has been awarded "Best Innovation by an Exchange in the Field of Product Design - North America" for its CBOE S&P 500 Implied Correlation Index from Futures and Options World magazine. The award was presented at FOW's Derivatives World London Conference on December 1.
"We are pleased to receive this 'best innovation' award from FOW," CBOE Chairman and CEO William J. Brodsky said. "One of many benchmark index innovations for which CBOE has become known over the years, the CBOE S&P 500 Implied Correlation Index benefits index and equity options traders, portfolio managers, and other asset allocation decision-makers by providing a more complete picture of the options market's assessment of equity risk."
In July 2009, CBOE began disseminating daily values for the CBOE S&P 500 Implied Correlation Index with historical values dating back to 2007. The index is the first widely disseminated market-based estimate of the average correlation of the stocks that comprise the S&P 500 Index (SPX). The index offers insight into the relative cost of SPX options compared to the price of options on individual stocks in the S&P 500 Index.