The CBOE S&P 500 Implied Correlation Index (JCJ-E, Jan. 2014) fell from 87.1 on Dec. 14, 2011, to its all-time low of 57.03 on Feb. 11, 2013, a drop of 34.5% www.cboe.com/JCJ On Feb. 22, 2013 the JCJ-E Index closed at 58.24.
The CBOE S&P 500 Implied Correlation Indexes measure changes in the relative premium between index options and single-stock options. The CBOE S&P 500 Implied Correlation Indexes may be used to provide trading signals for a strategy known as volatility dispersion (or correlation) trading. For example, a long volatility dispersion trade is characterized by selling at-the-money index option straddles and purchasing at-the-money straddles in options on index components. One interpretation of this strategy is that when implied correlation is high, index option premiums are rich relative to single-stock options. Therefore, it may be profitable to sell the rich index options and buy the relatively inexpensive equity options. (The language in this paragraph is excerpted from www.cboe.com/JCJ, which has much more information on this topic.)