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jroche1973

Combo Z Score

jroche1973  
forecasting options sentiment VIX CBOE Volatility Index move bollingers
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forecasting options sentiment vix move bollingers
Objective:
Can we use both VIX and MOVE relationships to indicate movement in the SPY? VIX (forward contract on SPY options) correlations are quite common as forward indicators however MOVE (forward contract on bonds) also provides a slightly different level of insight
Using the Z-Score of VIX vs VVIX and MOVE vs inverted VIX (there is no M of Move so we use inverted Vix as a proxy) we get some helpful indications of potential future moves. Added %B to give us some exposure to momentum. Toggle VIX or MOVE.

If anyone has a better idea of inverted Vix to proxy forward interest in MOVE let me know.
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