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: dealers net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
S&P 500 spx	–	−0.58	−0.39	49	−0.37	−0.21	−4,781.93	scatter
Nasdaq 100 ndx	–	−0.62	−0.32	49	−0.30	−0.32	−2,367.13	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	−0.42	0.28	0.25	52	0.16	+0.12	0.42	scatter
USD/IDR usdidr	–	0.77	0.24	49	0.25	+0.52	5,133.60	scatter
DXY dxy	–	−0.04	0.22	49	0.20	−0.24 ⇄	7,255.98	scatter
PHLX Semiconductor (SOX) sox	–	−0.52	−0.20	49	−0.19	−0.33	−638.39	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	0.27	0.18	0.17	52	0.07	+0.11	1.44	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.13	−0.60	−0.15	52	−0.25	−0.35	−0.10	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	−0.29	−0.18	0.15	52	−0.05	−0.13	0.22	scatter
UST 10YR ust10y	–	0.21	0.13	49	0.10	+0.11	389.35	scatter
Bitcoin (CME): asset managers net cftc_btc_am	−0.92	−0.32	−0.12	52	0.02	−0.33 ⇄	−2.45	scatter
INDOGB 10YR id10y	0.49	−0.31	0.10	46	0.12	−0.42 ⇄	254.23	scatter
Brent brent	–	0.17	0.10	49	0.09	+0.08	327.04	scatter
Gold gold	–	−0.35	−0.09	49	−0.06	−0.29	−520.89	scatter
UST 2YR ust2y	–	−0.05	0.08	49	−0.01	−0.04	197.71	scatter
LQ45 lq45	–	−0.74	−0.07	45	−0.05	−0.69	−390.62	scatter
Bitcoin btc	–	−0.38	−0.05	49	−0.01	−0.37	−209.50	scatter
JCI (IHSG) jci	–	−0.63	−0.05	45	−0.01	−0.62	−278.85	scatter
Copper copper	–	−0.12	−0.04	49	−0.01	−0.10	−227.46	scatter
E-mini S&P 500: asset managers net cftc_es_am	0.23	0.45	0.03	52	−0.13	+0.58 ⇄	0.01	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	0.95	0.45	0.01	52	−0.09	+0.54 ⇄	0.22	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.09	0.43	0.00	52	0.09	+0.34	0.00	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: dealers 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: dealers net · S&P 500

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	0.18	−0.07	0.22	−0.02	0.19	−0.04	0.03	0.29	−0.22	0.40	−0.39	0.09	−0.07	−0.23	−0.13	0.09	−0.10	−0.19	0.29	−0.28	0.24

Lag +k: today's change in VIX futures: dealers net against the change in S&P 500 k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.