Futures Market Correlations

Futures Market Correlations

  • Posted Sunday, November 29, 2009 -
  • Share |

Futures Correlation Matrix Futures market correlation matrix 2009 Nov Click on the above chart to view a larger version.

Chart Key:

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

Correlation Symbol - Strong Positive - strong positive correlation Correlation Symbol - Moderate Positive - moderate positive correlation Correlation Symbol Key - Negligible - negligible correlation Correlation Symbol - Moderate Negative - moderate negative correlation Correlation Symbol - Strong Negative - 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