Over the past few years the correlation between oil (especialy WTI Crude Oil) and the S&P500 has been remarkably consistent with an average of about 0.75 (scale from -1 to 1). However, over the past month that strong correlation that traders had become acustomed to has diminished at an exponential rate. Over this past month, the rolling 3 month correlation (rolling windows give a much more accurate measure) has fallen to its lowest level since the early 2000s (less than 0.20). Basically, the Energy sector and oil have been moving less in tandem with each other on a day to day basis than they have in years.
Source: Bespoke Investment Group