PERF: Faster CategoricalIndex from categorical
Master:

```
In [1]: import pandas as pd; import numpy as np

In [2]: arr = ['s%04d' % i for i in np.random.randint(0, 500000 // 10, size=500000)]; s = pd.Series(arr).astype('category')

In [3]: %timeit pd.CategoricalIndex(s)
69.4 ms ± 946 µs per loop (mean ± std. dev. of 7 runs, 10 loops each)
```

HEAD

```python
In [1]: import pandas as pd; import numpy as np

In [2]: arr = ['s%04d' % i for i in np.random.randint(0, 500000 // 10, size=500000)]; s = pd.Series(arr).astype('category')

In [3]: %timeit pd.CategoricalIndex(s)
9.06 µs ± 182 ns per loop (mean ± std. dev. of 7 runs, 100000 loops each)
```

Is that a 7000x speedup, or did I mess up the math?
# [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=h1) Report
> Merging [#17513](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/0097cb712a7361a69eb4f5ebb9bc13c2b8733f19?src=pr&el=desc) will **decrease** coverage by `0.01%`.
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/17513/graphs/tree.svg?width=650&src=pr&token=eZ4WkYLtcO&height=150)](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=tree)

```diff
@@            Coverage Diff             @@
##           master   #17513      +/-   ##
==========================================
- Coverage   91.22%    91.2%   -0.02%     
==========================================
  Files         163      163              
  Lines       49586    49588       +2     
==========================================
- Hits        45233    45227       -6     
- Misses       4353     4361       +8
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `88.99% <100%> (ø)` | :arrow_up: |
| #single | `40.2% <50%> (-0.07%)` | :arrow_down: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/indexes/category.py](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9jYXRlZ29yeS5weQ==) | `98.55% <100%> (ø)` | :arrow_up: |
| [pandas/io/gbq.py](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=tree#diff-cGFuZGFzL2lvL2dicS5weQ==) | `25% <0%> (-58.34%)` | :arrow_down: |
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.77% <0%> (-0.1%)` | :arrow_down: |
| [pandas/core/indexes/datetimes.py](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvaW5kZXhlcy9kYXRldGltZXMucHk=) | `95.53% <0%> (+0.09%)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=footer). Last update [0097cb7...7cad4f8](https://codecov.io/gh/pandas-dev/pandas/pull/17513?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 I am able to replicate this result (159 ms -> 9.88 µs). lgtm. merge on green. Unrelated test failure https://travis-ci.org/pandas-dev/pandas/jobs/275540546#L1608 (already an issue at https://github.com/pandas-dev/pandas/issues/17510)