CBOE Implied Correlation Index - Seasonality

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CBOE Implied Correlation Index - Seasonality

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Correlation

2011

86.01%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	60%	70%	50%	60%	90%	90%	60%	70%	56%	67%	78%	56%
Average return %	+5.39%	+14.92%	+8.78%	+7.22%	-17.83%	-11.61%	+6.88%	-1.45%	+13.11%	+11.61%	-15.60%	+1.73%
2026	+8.91%	+2.29%	+85.91%	-49.45%	-38.00%	-9.19%	+24.33%	+4.33%	+8.49%	--	--	--
2025	-12.65%	+48.67%	+37.34%	+33.22%	-33.84%	-23.65%	-0.76%	-10.09%	-10.30%	+20.70%	-6.79%	-13.85%
2024	+1.97%	-20.39%	-15.52%	+36.28%	-30.78%	-27.16%	+54.02%	+3.79%	+17.48%	+19.04%	-40.55%	+17.80%
2023	-24.44%	+4.97%	-3.98%	-5.64%	-23.65%	-23.02%	-7.62%	+8.71%	+40.27%	+12.78%	-31.19%	-6.59%
2022	+40.98%	+16.39%	-22.10%	+42.48%	-12.36%	+7.59%	-10.51%	+4.45%	+7.02%	+7.30%	-19.30%	+6.55%
2021	+38.52%	-12.16%	-22.25%	+45.09%	-17.88%	-10.64%	+34.48%	-17.61%	+42.88%	-31.81%	+17.13%	-24.29%
2020	+19.86%	+49.57%	+24.17%	-8.20%	-17.65%	-2.17%	-10.90%	-35.34%	+51.04%	+22.79%	-42.01%	-9.89%
2019	-21.99%	-8.67%	+1.71%	-7.74%	+31.59%	-21.24%	+14.97%	+4.40%	-3.11%	-6.56%	-13.78%	+6.63%
2018	+4.34%	+55.66%	+15.14%	-6.32%	-19.36%	-0.10%	-21.98%	+6.23%	-6.92%	+84.51%	-12.95%	+25.29%
2017	-1.65%	+12.91%	-12.66%	-7.57%	-16.37%	-6.50%	-7.18%	+16.65%	-20.41%	-24.29%	+9.06%	+13.95%

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