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Many of us are familiar with the VIX Index, commonly referred to as the “Fear Index”.  The VIX Index is a measure of “fear” as that relates to equity markets and typically rises during periods of falling prices, sometimes sharply during more precipitous declines.   Move Index Did you know there's an index that gauges fear in the bond market? Originally created by Merrill Lynch, it's now called the  ICE BofAML  MOVE  Index . This index measures how much investors expect interest rates to fluctuate. When there's worry about rising rates, the index goes up. It climbed sharply during the 2013 Taper Tantrum, reflecting heightened concerns about interest rate increases. The index rises as concerns grow that interest rates are on the march higher. The index will rise more sharply when there are fears in the market that rates may be headed significantly higher as was the case during the 2013 Taper Tantrum. Key Points to Understand: Implied Volatility: The MOVE Index...

The VIX-index is a measure of implied volatility in the S&P 500 and is often referred to as a fear index.  CDX.NA.IG is a credit default swap-index consisting of 125 North American investment grade companies and the S&P 500 is a stock index consisting of the 500 largest companies in USA. In [1], authors use ordinary least square (OLS) regression to study if VIX can be explained by CDS and S&P 500. and find that the VIX ,  CDX.NA.IG  (will be referred as CDX in this article for short) and  S&P 500  have a high correlation. Figure 1.   A mean-reverting pattern of inverse relationship of VIX and S&P 500 played out cleanly in 2022. VIX VIX  is measured as the weighted 30-day implied standard derivation of annual changes in S&P 500.  For example if the value of VIX is 20, then S&P 500 is expected to increase or decrease by 20% over the next year. [2]   This will be true in 68% of the cases, because stand...