Before revision:  We compare and contrast the empirical results against the numerical results for Wishart orthogonal ensemble (WOE), which has the maximum disorder (randomness) and hence, the highest eigen-entropy .
After revision:  One of the relative entropy measures displays "universal scaling" behavior with respect to the mean market correlation. Further, a functional of the relative entropy measure acts as a good gauge for the "market fragility" (minimum risk of the market portfolio) and the "market fear" (volatility index) .