"Correlation" is a measure of the extent to which security prices move in the same direction, but not necessarily by the same amount. This may sound complex, but think of correlation as a way to track "group thinking", commonly known in the investment world as herding behavior. Group thinking or "herding" generally occurs when macro economic issues dominate the market. For example, an unexpected negative event occurs with great media attention. If this event causes many investors to sell securities at the same time, correlation would rise. When correlation is high, security prices may generally be moving in the same direction and individual security selection may matters less. When correlation is low, security prices may generally be moving more independently and individual security selection may matter more. The correlation in the chart reflects the Chicago Board Options Exchange S&P 500 Implied Correlation Index ("JCJ") and it measures the expected average correlation of components of the S&P 500 Index ("SPX"). The S&P 500 index is used as a proxy for the stock market in general.