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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*Disclaimer: The data and output from this tool does not constitute investment advice and is not a personal recommendation from CME Group.  Nothing contained herein constitutes the solicitation of the purchase or sale of any futures or options.  Any investment activities undertaken using this tool will be at the sole risk of the relevant investor.  CME Group expressly disclaims all liability for the use or interpretation (whether by visitor or by others) of information contained herein. Decisions based on this information are the sole responsibility of the relevant investor.  Any visitor to this page agrees to hold the CME Group and its affiliates and licensors harmless against any claims for damages arising from any decisions that the visitor makes based on such information.