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.

WTI crude: speculators (non-commercial) net against…

Series	1M	3M	1Y ↓	n 1Y	3Y	3M − 3Y	Beta 1Y
USD/IDR usdidr	–	0.49	−0.28	49	−0.29	+0.78 ⇄	−10,069.05	scatter
Brent brent	–	−0.16	−0.27	50	−0.24	+0.08	−1,462.27	scatter
Bitcoin (CME): asset managers net cftc_btc_am	0.90	−0.13	−0.20	52	−0.02	−0.11	−6.83	scatter
S&P 500 spx	–	−0.11	−0.19	50	−0.18	+0.07	−3,986.97	scatter
Gold gold	–	−0.36	0.19	50	0.15	−0.51 ⇄	1,731.55	scatter
UST 10YR ust10y	–	0.19	0.17	49	0.16	+0.03	850.16	scatter
LQ45 lq45	–	0.00	−0.17	45	−0.11	+0.10	−1,627.59	scatter
E-mini S&P 500: asset managers net cftc_es_am	−0.10	0.33	−0.16	52	−0.02	+0.35 ⇄	−0.10	scatter
E-mini Nasdaq-100: asset managers net cftc_nq_am	0.83	0.06	−0.15	52	0.00	+0.07 ⇄	−0.44	scatter
Bitcoin (CME): dealers net cftc_btc_dealer	−0.61	−0.23	−0.14	52	0.02	−0.25 ⇄	−5.31	scatter
DXY dxy	–	−0.09	−0.13	50	−0.22	+0.13	−7,447.69	scatter
INDOGB 10YR id10y	−0.33	−0.11	−0.12	46	−0.15	+0.04	−532.90	scatter
Nasdaq 100 ndx	–	−0.36	−0.12	50	−0.11	−0.26	−1,530.83	scatter
UST 2YR ust2y	–	0.28	0.12	49	0.10	+0.18	499.69	scatter
JCI (IHSG) jci	–	0.14	−0.12	45	−0.06	+0.21 ⇄	−1,262.23	scatter
Bitcoin (CME): leveraged funds net cftc_btc_lev	−0.64	0.36	0.11	52	−0.05	+0.41 ⇄	1.55	scatter
PHLX Semiconductor (SOX) sox	–	−0.57	−0.09	50	−0.06	−0.51	−495.74	scatter
Copper copper	–	−0.22	0.06	50	0.03	−0.26 ⇄	593.24	scatter
Bitcoin btc	–	0.34	−0.05	49	−0.01	+0.35 ⇄	−353.98	scatter
E-mini Nasdaq-100: dealers net cftc_nq_dealer	0.40	−0.21	0.03	52	0.08	−0.28 ⇄	0.03	scatter
Copper: speculators (non-commercial) net cftc_copper_nc	0.75	−0.03	−0.02	52	0.13	−0.16 ⇄	−0.05	scatter
E-mini Nasdaq-100: leveraged funds net cftc_nq_lev	−0.47	0.22	0.02	52	−0.05	+0.27 ⇄	0.03	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 WTI crude: speculators (non-commercial) 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 ↓

WTI crude: speculators (non-commercial) net · USD/IDR

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	0.23	0.10	0.02	0.15	−0.04	0.04	0.03	−0.03	−0.03	−0.12	−0.28	0.07	−0.47	−0.16	−0.13	−0.30	−0.04	−0.39	0.10	−0.16	0.14

Lag +k: today's change in WTI crude: speculators (non-commercial) net against the change in USD/IDR k readings later (positive = the first one leads). A peak away from 0 is a description of the past year only.