Hermēs DocumentationCross-asset Correlation
Cross-asset Correlation uses a Pearson correlation heatmap to measure how strongly the zero-gamma levels of indices/ETFs move together, helping macro and multi-asset traders decide whether to diversify or concentrate on one direction today. Requires Ultra.
Cross-asset Correlation uses a Pearson correlation heatmap to measure how strongly the zero-gamma levels of indices/ETFs move together. It answers a macro question: are today's GEX regimes across tickers "moving as one" or "diverging/hedging" — which decides whether you concentrate on one direction or diversify. Requires Ultra.
Open it in the Options Desk via ＋ New Window → Data & Analytics → Cross-asset Correlation.
Who it is for
Futures / macro / multi-asset traders. When you watch ES, NQ, SPY, QQQ, VIX at once, Cross-asset Correlation tells you whether their structures agree: when highly positively correlated, concentrating on one direction is most efficient; when negative correlation or divergence appears, beware fragmentation and look for hedging opportunities.
Panel walkthrough
Pick tickers & window
Multi-select ticker chips (ES_SPX, NQ_NDX, SPX, SPY, QQQ, VIX, etc.) + a time-window button (default ~48h). More tickers, a fuller matrix.
Correlation heatmap
Computes pairwise zero-gamma Pearson correlation across the selected tickers: green = positive, red = negative, the deeper the color the stronger the linkage. The legend notes Zero-Gamma Pearson correlation · N data points.
Row-label jump
Click a row label to switch the workspace current ticker to that one, so you can jump from "spot an anomaly in the matrix" straight to "study it on the main chart".
How to read it
Many tickers highly positively correlated (a sea of deep green) → systemic move, concentrate on the leading ticker's direction. Negative correlation appears or a ticker breaks from the pack → divergence / rotation, beware hedge drag or look for divergence plays. VIX strongly negatively correlated with indices is the norm; weakening negative correlation often foreshadows a volatility-regime shift.
Typical workflow
- Pick your usual basket of tickers and a suitable time window.
- See whether the whole is in sync: a sea of deep green = systemic; red/pale = divergence.
- Spot a ticker breaking from the pack, click its row label to jump to the main chart and confirm its GEX structure.
- Combine with the Market State regime labels to decide concentrate vs diversify.
Next steps
Frequently asked questions
What does Cross-asset Correlation measure?
It computes the Pearson correlation between the zero-gamma levels of each ticker — green is positive correlation, red is negative — to judge whether different tickers' GEX regimes are in sync.
What subscription does Cross-asset Correlation need?
Cross-asset Correlation is an Ultra window — log in with an Ultra subscription.
What lookback window does the correlation use?
A time-window button toggles it, defaulting to about 48 hours; longer windows are more stable, shorter ones hug the current linkage.
UOA Scanner (Unusual Options Activity)
The UOA Scanner refreshes about every 60 seconds and surfaces unusual option contracts whose volume significantly exceeds open interest, helping US equity and ETF options traders spot tickers and strikes where new money is betting first. Requires Pro.
GEX Signal Backtest
The GEX Signal Backtest lets you test structural signals on historical data — such as "long above zero gamma" or "short below the put wall" — and gives win rate, average P/L, max drawdown and an equity curve, replacing gut feel with data. Requires Ultra.