Cross-Asset Correlation Tool

Discover a simple, yet powerful, way to visualize pairwise correlations across CME Group products with the Cross-Asset Correlation Tool. Available for benchmark products across all CME Group asset classes, this tool allows you to identify the degree to which two products are varying similarly over a period of time.

There are three ways to analyze correlations:

  • Correlation of daily log returns of 30-day constant maturity future prices
  • Correlation of 30-day constant maturity ATM implied volatilities
  • Correlation of 20-day realized volatilities of 30-day constant maturity future prices

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