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.

MOVE (UST vol) against…

Series	1M	3M	1Y	n 1Y	3Y ↓	3M − 3Y	Beta 1Y
VIX vix	0.48	0.28	0.47	249	0.57	−0.29	1.35	scatter
S&P 500 spx	−0.34	−0.31	−0.46	249	−0.47	+0.16	−2.48	scatter
Nasdaq 100 ndx	−0.20	−0.17	−0.36	249	−0.42	+0.25	−1.27	scatter
PHLX Semiconductor (SOX) sox	−0.16	−0.03	−0.25	249	−0.34	+0.31	−0.39	scatter
UST 10YR ust10y	0.77	0.70	0.51	248	0.24	+0.46	0.53	scatter
Copper copper	−0.32	−0.18	−0.22	249	−0.23	+0.04	−0.56	scatter
Bitcoin btc	−0.01	−0.13	−0.18	249	−0.19	+0.07	−0.29	scatter
UST 2YR ust2y	0.65	0.63	0.45	248	0.18	+0.44	0.42	scatter
USD/IDR usdidr	0.21	0.06	−0.05	249	0.17	−0.11	−0.41	scatter
INDOGB 10YR id10y	−0.47	−0.01	0.07	201	0.15	−0.16 ⇄	0.04	scatter
DXY dxy	0.30	0.29	0.26	249	0.14	+0.15	3.47	scatter
Brent brent	0.41	0.36	0.35	249	0.13	+0.23	0.45	scatter
LQ45 lq45	0.01	0.00	−0.04	231	−0.10	+0.10	−0.10	scatter
JCI (IHSG) jci	0.15	0.07	−0.01	231	−0.09	+0.16 ⇄	−0.04	scatter
Gold gold	−0.43	−0.33	−0.19	249	−0.05	−0.28	−0.45	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 MOVE (UST vol) 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 ↓

MOVE (UST vol) · VIX

20 60 120 252

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	0.29	−0.09	−0.09	−0.14	0.06	0.06	0.09	−0.12	−0.04	−0.05	0.47	−0.01	−0.05	−0.09	0.10	0.18	0.02	−0.15	−0.06	−0.07	0.00

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