Type JCJ <Index> GP <GO> on your Bloomberg.
You’ll get a chart that looks like this:
It’s the CBOE’s S&P 500 Implied Correlation Index — based on options expiring in January 2011. It’s a basic measure of the correlation of stocks within the S&P 500, and you can see that it’s been approaching the end of day record it hit back in July. Now type JCJ <Index> GIP.
That gives you the intraday chart:
On an intraday basis the Implied Correlation Index touched 79.84 on Wednesday — an all-time record.
Related links:
Lost in correlation fatigue – FT Alphaville
Stock picks tough as asset paths correlate - FT
Something ‘otherworldly’ in the market - FT Alphaville