Method and system for generating and trading derivative investment instruments based on an implied correlation index

摘要

A system and method for creating and trading derivative instruments based on an implied correlation index is disclosed. A version of the method may include obtaining implied volatility values for both a stock index and constituent stocks in the stock index. A value reflecting an implied correlation between the stock index and constituents of the index is calculated and one or more values reflecting the implied correlation are displayed at a trading facility. A system for carrying out the method may include an implied index correlation module configured to generate an implied correlation value, and a dissemination module in communication with a communications network that is configured to transmit the implied correlation value to a market participant.