Relationship Lab

How a series has moved with others: the correlation of daily changes (% for prices, bp for rates) over 1 and 3 years, the beta, a rolling correlation and whether one tends to move first. Correlation is not causation, and it changes over time.

VIX futures: asset managers net against…

Series	1M	3M ↓	1Y	n 1Y	3Y	3M − 3Y	Beta 1Y
Bitcoin btc	–	0.65	0.02	49	0.01	+0.64	94.41	scatter
Brent brent	–	−0.58	−0.26	50	−0.24	−0.34	−842.00	scatter
UST 10YR ust10y	–	−0.54	−0.11	49	−0.15	−0.39	−316.99	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.47	0.49	−0.23	52	−0.29	+0.78 ⇄	−0.08	scatter
USD/IDR usdidr	–	0.47	0.06	49	0.02	+0.45	1,158.84	scatter
UST 2YR ust2y	–	−0.42	−0.18	49	−0.19	−0.23	−441.17	scatter
INDOGB 10YR id10y	−0.73	−0.38	−0.15	46	−0.18	−0.19	−352.32	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.95	0.34	−0.10	52	−0.09	+0.43 ⇄	−0.15	scatter
DXY dxy	–	−0.34	−0.14	50	−0.20	−0.14	−4,699.90	scatter
S&P 500 spx	–	0.29	−0.03	50	−0.03	+0.32 ⇄	−317.23	scatter
Gold gold	–	0.24	0.07	50	0.04	+0.20	393.21	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.79	−0.22	0.02	52	−0.01	−0.21	0.02	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.98	0.21	−0.06	52	−0.25	+0.46 ⇄	−0.10	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.21	−0.18	−0.20	52	0.02	−0.20 ⇄	−4.12	scatter
LQ45 lq45	–	−0.17	−0.05	45	−0.01	−0.16	−258.73	scatter
JCI (IHSG) jci	–	−0.14	−0.07	45	−0.04	−0.10	−456.88	scatter
PHLX Semiconductor (SOX) sox	–	−0.14	−0.12	50	−0.10	−0.04	−378.05	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.97	−0.13	0.04	52	0.00	−0.13	0.30	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.78	0.07	−0.12	52	−0.10	+0.18 ⇄	−2.31	scatter
Nasdaq 100 ndx	–	0.07	−0.07	50	−0.07	+0.14 ⇄	−541.14	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.79	−0.04	−0.05	52	0.06	−0.10 ⇄	−0.04	scatter
Copper copper	–	0.02	−0.02	50	−0.02	+0.04 ⇄	−93.42	scatter
Newcastle coal coal	–	–	–	0	–	–	–	scatter

Compared with the headline cross-asset series and the series in the same catalog category and country. Changes are matched on common dates. Beta = change in VIX futures: asset managers net per unit change in the other series (least squares, 1 year). Amber: fewer than 20 common changes (hover a value for its n). Stability: the 3-month correlation minus the 3-year one; ⇄ marks opposite signs. A change in correlation describes the past; it does not say the relationship has broken or will return. Data ↓

VIX futures: asset managers net · Bitcoin

20 60 120 252

Not enough common dates for a rolling correlation.

Rolling correlation of daily changes over the last 60 common readings, last 3 years.

Who moves first? (1 year)

Lag (readings)	-10	-9	-8	-7	-6	-5	-4	-3	-2	-1	+0	+1	+2	+3	+4	+5	+6	+7	+8	+9	+10
correlation	0.13	0.07	−0.05	−0.09	0.10	−0.14	0.01	−0.26	−0.21	0.11	0.02	−0.06	−0.17	0.16	0.27	−0.11	0.10	0.27	0.24	0.02	0.21

Lag +k: today's change in VIX futures: asset managers net against the change in Bitcoin k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.