A simple correlation of two securities

corr.wls

With[{
  a = "SPXL",
  b = "VIXY"
  },
 With[{
   apath = FinancialData[a, "Close", All]["DatePath"],
   bpath = FinancialData[b, "Close", All]["DatePath"]
   },
  With[{
    adiff = Transpose[{
       Map[First, apath][[;; -2]],
       Ratios@Map[Last, apath]
       }],
    bdiff = Transpose[{
       Map[First, bpath][[;; -2]],
       Ratios@Map[Last, bpath]
       }]
    },
   With[{
     joined = GatherBy[Join[adiff, bdiff], First]
     },
    With[{
      select = Select[joined, Length@# == 2 &]
      },
     With[{
       trim = 
        Table[{First@First@s, {Last@First@s, Last@Last@s}}, {s, 
          select}]
       },
      With[{
        part = Partition[trim, 5, 1]
        },
       With[{
         co = Table[
           With[{
             veca = Map[Composition[Last, First], p],
             vecb = Map[Composition[Last, Last], p]
             },
            {First@First@p,
             Normalize[veca].Normalize[vecb]
             }], {p, part}]
         },
        co
        ]]]]]]]]