BIF - Implied Correlation Index Flashes A Buy Signal
I've talked about the CBOE implied correlation index a few times before, but it's very timely to revisit this indicator as the February correction has created quite the shakeup. Indeed we have seen a move in the index similar in magnitude to that seen in the heart of the financial crisis in 2008. So what's going on, and how should we be thinking about it?
I covered this topic in a chart storm on the S&P500 which focused on the VIX, volatility, and correlations.
The chart in question - the implied correlation index (shown inverted)