Hermēs DocumentationMultiple Symbols Can Share the Same Evidence
Use the zero-gamma correlation matrix without confusing structural co-movement with return correlation or diversification.
Similar SPX and SPY structures are not automatically two independent confirmations. They may reflect substantially overlapping market information.
What the matrix measures
Cross-asset Correlation calculates Pearson correlation between zero-gamma level series. It is not a price-return or portfolio-P&L correlation matrix.
It does not establish that green means both prices will rise, red means two positions hedge each other, more symbols ensure diversification, or a high coefficient justifies larger directional exposure.
Multi-window check
- Select symbols and a time window; inspect the available observation count.
- Observe structural level co-movement or divergence without assigning a price direction.
- Return to each chart and record spot relative to structure, expiration scope and data time.
- Treat overlapping index/ETF observations as shared context rather than extra independent votes.
- Observe prices separately to assess price co-movement. Position direction, size and return risk are needed to assess diversification.
Window changes, small samples, stale observations or nearly constant series can affect the coefficient. An unavailable result is not zero correlation.
Exercise
For SPX, SPY and QQQ, record structural level changes, price reactions and shared risk sources separately. Identify duplicated information and genuinely different market context.
Next: Market State · Data checks.