This is a summary of links featured on Quantocracy on Thursday, 12/22/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Slava Ukraini! Latest from Quantocracy contributor in Ukraine: MOVE Index [Only VIX]In the previous article I wrote about using VIX / MOVE index ratio as an indicator for SPX returns. Here is the google sheet for your reference and experiments. The ratio itself is very stable – in fact 11 years ago I wrote that VIX = EXP(-1.84+1.06*LN(MOVE)) As you can see the relationship has held up well, with only major dislocation during Covid period. That chart is on the second sheet in the