This paper proposes new ex-ante measures of downside and upside aggregate implied correlation from options. The downside measure significantly exceeds the upside and total implied correlations, capturing increased asset interdependence when diversification fails during periods of market distress. While upside correlation risk is not priced, innovations in downside correlation carry a significant negative premium. The negative downside correlation premium is consistent with investors demanding a hedge against spikes in correlations. Results show that downside correlation risk is priced even after controlling for volatility risk, but not vice-versa. Downside correlation subsumes volatility pricing ability, which cannot be explained by upside correlation. A simple mean-variance exercise shows that augmenting standard factor models with the downside correlation factor increases the Sharpe ratio of the portfolio.