Futures Correlation Matrix Click on the above chart to view a larger version.
DX = December 2009 U.S. Dollar Index contract S&P 500 = December 2009 S&P 500 Index e-mini contract Gold = December 2009 Comex Gold contract 10yr T-note = December 2009 10-year U.S. T-note contract Oil = January 2010 Light Sweet Crude Oil contract
- strong positive correlation - moderate positive correlation - negligible correlation - moderate negative correlation - strong negative correlation
The correlation matrix shown above is based on correlation coefficients derived from 15-minute chart closing prices on GFTs DealBook 360 platform, from November 2 through 27, 2009.
view original article