Credit
Equity Risk PremiumInspired by the article "2020's Best Performing Hedge Fund Warns Of 'Incredible Move' Around The Election" from ZeroHedge:
This script explores the relationship and attempts to find dislocation between equity risk (VIX) and high-yield corporate debt risk (VXHYG, The Cboe VXHYG Index is an estimate of the expected 30-day volatility of the return on iShares' High Yield Grade ETF (HYG). VXHYG is derived by applying the VIX algorithm to options on HYG).
The basic logic is (closing price of VIX / closing price of VXHYG) - 1. When equity risk is high and credit risk is low, the value of premium will be high, and vice-versa.
“'Equity volatility is almost inescapably high. Is that a good form of insurance? The payoff profiles are nothing like they were back in January. Whereas in credit, we’re almost back to where we were in January.
I find today the risk-reward profile of credit to be basically among the worst, relative to other things, I’ve seen in my career,' Weinstein said. 'A VIX at 20 used to be quite a feat. Here we are at 30, and the credit market hasn’t blinked.'
As a result of the gaping divergence between the VIX and credit spreads - the two had moved in tandem for years, but in August the two series blew out as the VIX started rising as spreads kept falling - Weinstein has pounced on the trade, betting on vol compression."
When equity risk premium is high, the market may be forming a local top.
When equity risk premium is low, the market may be forming a local bottom.
Make sure to select your current timeframe on the dropdown menu.
Credit Creation Degree_Debt/M1 [Xiaolai(Sean) Chen] TathaGadaReflect on my previous script "Credit Creation Degree" which is M2/M1 money stock value is the reflection of the degree of credit created which was mentioned by Ray Dalio in his 30 min video "How the Market and Economic Machines Work"
This is another option which compares the Federal Government Debt: Total domestic debt with M1 Money stock
Credit degree will finally decrease in the Long-Term Debt circle.
Credit Creation Degree_Debt/M1 [Xiaolai(Sean) Chen]Reflect on my previous script "Credit Creation Degree" which is M2/M1 money stock value is the reflection of the degree of credit created which was mentioned by Ray Dalio in his 30 min video "How the Market and Economic Machines Work"
This is another option which compares the Federal Government Debt: Total domestic debt with M1 Money stock
Credit degree will finally decrease in the Long-Term Debt circle.
Xiaolai(Sean)Chen_Credit Creation DegreeM2/M1 money stock value is the reflection of the degree of credit created which was mentioned by Ray Dalio in his 30 min video "How the Market and Economic Machines Work"
Credit degree will finally decrease in the Long-Term Debt circle.
