rho = -0.6 to -0.8 (Heston / SV models)
| source | Empirical fit to SPX returns + IV |
| derivation | data_calibrated |
| quality | calibrated |
| set | 2026-05-25 |
| last reviewed | 2026-05-25 |
| next review due | 2026-12-31 |
Negative correlation captures leverage effect: vol rises when spot drops.