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Books like a gentleman in moscow5/13/2023 As you can see in Figure 1 below, Treasury volatility measured by the MOVE index has eclipsed that of the VIX over the past year and is far closer to its GFC peak than the VIX. This index, called the MOVE index, measures volatility in the Treasury market. It occurred to me that if author Robert Harris was writing his novel today, he might need to abandon his references to the VIX and replace them with the index that measures bond market volatility. In the novel, a brilliant scientist creates a super-computer using artificial intelligence which trades after analyzing market behavior and news stories, often predicting and capitalizing on the fear that comes from financial panics. Investors often cite the VIX when assessing risk, or fear, among stock investors. That book, written in the wake of the GFC, takes its title from the CBOE Volatility Index, or VIX, which measures volatility in the S&P 500. This rude awakening from my vacation gave me cause to recall a different novel that I read way back in 2011 called The Fear Index.
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