The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

► We introduce a new and easy to calculate measure for systemic risk in financial markets. ► This measure is baptized the Herd Behavior Index (HIX). ► It is model-independent and forward looking, based on observed option data. ► The HIX compares the observed market situation with the situation under which the whole system is driven by a single factor. ► We determine historical values of the 30-days implied Herd Behavior Index for the Dow Jones Industrial Average.