Us Equity Index Correlation

By Craig Bewick
APR 07 2021

US Equity Index prices were relatively quiet again today, though we again saw a bit of a divergence in price action between the major indexes.  The Nasdaq was higher, the Dow Jones and S&P 500 were near unchanged and the Russell 2000 was down by over 1.5%.  Implied volatility in CME Group equity index options remained near steady and at low levels versus recent months. 

Other CME Group markets were similarly quiet today as Treasuries, Metals and Foreign Currency prices were little changed.  WTI Crude Oil futures prices were near steady though Natural Gas futures were up about 2.5%. 

Given the relatively quiet trading today, we’ll take the opportunity to showcase the QuikStrike correlation tool.  The top chart below depicts the price (log returns) correlation of the four major Equity indexes at CME Group over the last twelve months; the lower chart depicts the same measurement over the last week.  As you can see, and as we’ve pointed out here in the Key Takeaways section recently, we’ve seen a much weaker price relationship between the Russsell 2000 and the other major indexes. 

 

ABOUT THE AUTHOR

Craig Bewick has spent 25 years in futures and options markets, starting at CBOT and CME working in risk management, regulatory, technology, product management and client development. 

Connect with Craig at activetrader@cmegroup.com

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