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by Ashraf Laidi
Posted: Mar 9, 2010 0:40
Comments: 200
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S&P500 / VIX Ratio & USD LIBOR

On the cycles of the S&P500 / VIX ratio and the stabilizing cost of USD 3-month LIBOR relative to its yen counterpart.
 
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shao
Shanghai, China
Posts: 1
14 years ago
Mar 10, 2010 12:22
agree.
Trader Freddie
Great Britain
Posted Anonymously
14 years ago
Mar 10, 2010 10:59
Ashraf,

Doesn't the S&P 500's "Market Cap" weighting and re-balancing shenanigans make the comparison with the VIX a tricky exercise?

I have looked at the VIX versus its own moving average plotted alongside the S&P as a cross check and sometimes that can also be a helpful one to look at. http://www.indexindicators.com/charts/sp500-vs-vix-10d-rsma-params-x-x-x/

It shows that PRIOR to the S&P's sharpest up-swings, the ratio of the VIX to the VIX-10DMA has tended to be meaningfully ɭ, in contrast with where it stands at present (ə).
Ashraf Laidi
London, UK
Posts: 0
14 years ago
Mar 10, 2010 10:29
SAID, Fed funds rate closely follows USD LIBOR so if Rev repos go effective then we must see higher EFEFCTIVE (market) Fed FUnds

Ashraf
INGbalek
Slovakia
Posted Anonymously
14 years ago
Mar 10, 2010 9:58
heavy prophecy!!!
SriniB
New Jersey, United States
Posts: 1
14 years ago
Mar 10, 2010 9:17
thanks - Great analysis as expected. what is your take on sterling and yen, where do you see against us dollar
Nico
California, United States
Posts: 2
14 years ago
Mar 10, 2010 1:26
Love the correlations no one else thinks or talks about. Keep the fresh insight coming. Nicholas Ellis
jinny
North Carolina, United States
Posts: 2
14 years ago
Mar 10, 2010 0:44
great thought
sub
UK
Posted Anonymously
14 years ago
Mar 9, 2010 17:38
Ashraf - great analysis as always. Given you see a decline in s&p, what are your downside targets?
danko
Gran Canaria, Spain
Posted Anonymously
14 years ago
Mar 9, 2010 16:33
Thanks for your analysis! Going further... which currency do you think will plummet this year? What do you think about JPY? Thanks
said
mulhouse, France
Posts: 2822
14 years ago
Mar 9, 2010 13:42
excellent ashraf

maybe there are no correlations but DO the reverse repo ops from the fed will affect the usd libor by raising it and that will leave for the moment yen libor the remaining carry trade funding currency.
will there be a crossroad between EUR libor cost at .59 now ( with a degradation of this cost) and USD libor cost that will confirm the hedges funds bets on EURO plunging?
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