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US HY spreads vs VIX cycles 1/6
this thread will show the correlation and cycle movements between BAML HY spread and the SPX implied vola
first: overview
this thread will show the correlation and cycle movements between BAML HY spread and the SPX implied vola
first: overview
cycle late 90s to 2006 2/6
dot com bubble bursts, credits blow out, vola already high and kept being elevated while markets tanked. CB rate cuts, market bottomed and rallied, spreads tighter, vola lower
dot com bubble bursts, credits blow out, vola already high and kept being elevated while markets tanked. CB rate cuts, market bottomed and rallied, spreads tighter, vola lower
cycle 2007-2014 3/6
spreads started to move early, stocks late response, diving into once in a century deep GFC, henc global CBs rescue.
Market bottomed, rallied, new debt hickup in Europe, BoJ starts QE, market rallied until 2014/2015
spreads started to move early, stocks late response, diving into once in a century deep GFC, henc global CBs rescue.
Market bottomed, rallied, new debt hickup in Europe, BoJ starts QE, market rallied until 2014/2015
cycle 2015-now 4/6
what could have been a cycle bottom, was rescued by PBoC 1trln package (while ECB/BoJ and others still on QE), but FED tapered.
Market rebounded until 2018.
and this is where we are right now.
CBs can only stretch cycle ever so long.
what could have been a cycle bottom, was rescued by PBoC 1trln package (while ECB/BoJ and others still on QE), but FED tapered.
Market rebounded until 2018.
and this is where we are right now.
CBs can only stretch cycle ever so long.
correlation I 5/6
12M avg of both BAML HY spread vs VIX show a 86% correlation over the last 20years.
12M avg of both BAML HY spread vs VIX show a 86% correlation over the last 20years.
correlation II 6/6
and here for comparison the spot outright correlation.
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and here for comparison the spot outright correlation.
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