Abstract: We show how to extract the expected risk-neutral correlation between risk-neutral distributions of the market index (S&P 500) return and its expected volatility (VIX). Comparing the implied correlation with its realized counterpart reveals a significant index-to-volatility correlation risk premium. It compensates for the fear of rising and enduring volatility due to market crashes and measures a new dimension of risk not covered by other variables. The correlation risk premium asymmetrically focuses on tail risk, unlike the variance risk premium. Incorporating information from both equity and volatility markets, it predicts future index returns and changes in both future returns and volatilities.