MOVE Index

In the previous article I wrote about using VIX / MOVE index ratio as an indicator for SPX returns. Here is the google sheet for your reference and experiments. 

The ratio itself is very stable - in fact 11 years ago I wrote that VIX = EXP(-1.84+1.06*LN(MOVE)) 

As you can see the relationship has held up well, with only major dislocation during Covid period. That chart is on the second sheet in the link above.


Yesterday, presidents Biden and Zelensky met at the White House. This is a tremendous show of support from people of the USA. If you are a citizen of the USA - as I am - you should be proud about the leadership role the US is taking in securing the world peace. Thank you, fellow Americans, thank you all readers from other countries who have taken action to to support Ukraine. With your help we will free all of Ukraine from russian murderers! Please reach out to your political leaders and ask them to support Ukraine!

Zelensky Meets With Biden to Discuss Ukraine War, Military Aid

1 comment:

  1. Anonymous1/02/2023

    great post. until you started injecting politics

    ReplyDelete

Weekly market report

  Wall Street had a strong week as major indices rose , with the S & P 500 up 1 . 62 % and the ST O XX 50 up 1 . 91...