Before revision:  We choose the US S P-500 and Japanese Nikkei-225 financial markets, over a 32-year period, and study the evolution of the cross-correlation matrices and their corresponding eigen-entropies. One of the relative entropy measures displays "universal scaling " behaviorwith 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).
After revision:  We choose the US S transitions. An entropy functional exhibits scaling behavior. We propose a generic indicator that facilitates the continuous monitoring of the internal structure of the market portfolio) and the "market fear" (volatility index).