thank you very much for changing the trading view chart setup! I have been playing around with it a bit and I find that HYG/IEF is a slightly better stand in for the HY CDX index. At least in my opinion, Im also curious as to why you added vix onto the bottom panel as opposed to MOVE? Thank you again for sharing all of your great insights
Good questions. So here is the thing. The HYG/IEF spread is on but there’s technically a duration mismatch. HYG has moved pretty far out the risk curve in its holdings to get yield. So that’s something to keep in mind. Would I would do is just watch the bbb option adjusted spreads that come out at the end of each day on Fred and tradingview. Then intraday just watch and see if HYG is up or down compared to bond futures.
If credit risk is spiking, Vix is usually spiking. However move spiking doesn’t always = credit risk. That’s why. Also I don’t really use move. I look at the individual implied vol metrics of each bond future. You can do this on the cvol tool for CME.
Thank you for the answer, I wasn’t aware HYG was mismatched. And that is a good point about MOVE and I appreciate the recommendations! I have been trying to build out some models and you’ve been of great help!
thank you very much for changing the trading view chart setup! I have been playing around with it a bit and I find that HYG/IEF is a slightly better stand in for the HY CDX index. At least in my opinion, Im also curious as to why you added vix onto the bottom panel as opposed to MOVE? Thank you again for sharing all of your great insights
Good questions. So here is the thing. The HYG/IEF spread is on but there’s technically a duration mismatch. HYG has moved pretty far out the risk curve in its holdings to get yield. So that’s something to keep in mind. Would I would do is just watch the bbb option adjusted spreads that come out at the end of each day on Fred and tradingview. Then intraday just watch and see if HYG is up or down compared to bond futures.
If credit risk is spiking, Vix is usually spiking. However move spiking doesn’t always = credit risk. That’s why. Also I don’t really use move. I look at the individual implied vol metrics of each bond future. You can do this on the cvol tool for CME.
Happy I can help. Be well !
Thank you for the answer, I wasn’t aware HYG was mismatched. And that is a good point about MOVE and I appreciate the recommendations! I have been trying to build out some models and you’ve been of great help!
im glad. keep up the good work.