Macro Trends/Forecasts

Jeff Miller

"The Man Who Called Dow 20,000" --CNBC

Comparing Fear in Stocks and Bonds

The VIX index is widely viewed as a measure of fear in the stock market.  The Merrill Lynch MOVE index is a similar measure for the bond market. It is "a yield curve weighted index of the normalized implied volatility on 1-month Treasury options which are weighted on the 2, 5, 10, and 30 year contracts." (Raymond James)  The CBOE also has a volatility product based strictly on the ten-year note. TYVIX.  So where is there more fear?

 

Readers interested in volatility trading should take a deeper look at the relationships among these variables.

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Jeff Miller provides Economic Analysis as well as Market Forecasts as one of the original contributing analysts at FATRADER. A quantitative modeling expert and former university professor who is the #1 Economics contributor at Seeking Alpha, Jeff is regarded as an expert on economics, market reaction to news events, and computer-based trading.
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