Why does this skill require Chrome CDP?

This skill uses Chrome DevTools Protocol (CDP) to scrape real-time market data directly from MacroMicro charts that are not easily accessible via standard APIs, ensuring you have the latest MOVE and JGB data.

Can I analyze bonds other than JGBs?

Yes, the skill is flexible. While JGB 10Y is the default, it supports other benchmarks like US 10Y Treasuries or German Bunds via command-line arguments.

What is the MOVE Index and why analyze its lead/lag relationship?

The MOVE Index measures US Treasury option volatility. It is often a leading indicator for other markets; if MOVE drops before the VIX, it suggests bond traders are becoming calmer before equity traders, signaling a potential shift in risk sentiment.

How does the 'spooked check' work?

The skill identifies 'shocks' (e.g., a 15bp move in JGB yields) and measures the MOVE Index's reaction. If the reaction is below historical medians, the market is classified as 'not spooked,' indicating underlying resilience.

MOVE-LeadLag Risk Analyzer

Name: MOVE-LeadLag Risk Analyzer
Author: fatfingererr

byfatfingererr

数据科学与机器学习

Analyzes bond market volatility as a leading indicator for equity fear and credit spreads using cross-correlation and shock-event testing.

关于

This skill provides sophisticated macro-level financial analysis by evaluating the relationship between the MOVE Index (Treasury volatility) and other risk gauges like the VIX and Credit Spreads. It determines whether bond market volatility is leading broader market movements and tests if the market is 'not spooked' by specific interest rate shocks, such as JGB yield spikes. By combining Chrome CDP for web scraping with Python-based quantitative analysis, it generates Bloomberg-style visual reports and statistical evidence for macro trading narratives.

主要功能

Z-score normalization and data smoothing for accurate signal comparison
Cross-correlation engine to identify lead/lag days between different volatility indices
0 GitHub stars
Automated event-window testing to measure market panic during yield shocks
Bloomberg-style visual reporting with high-resolution 2x3 panel charts
Multi-source data integration for MOVE, VIX, JGB yields, and FRED credit spreads

使用场景

Assessing the global impact of Japanese Government Bond (JGB) volatility on risk assets
Monitoring if bond market stability is signaling an upcoming decline in the VIX
Validating macro-level trade narratives with quantitative lead/lag evidence

关于

主要功能

Z-score normalization and data smoothing for accurate signal comparison
Cross-correlation engine to identify lead/lag days between different volatility indices
0 GitHub stars
Automated event-window testing to measure market panic during yield shocks
Bloomberg-style visual reporting with high-resolution 2x3 panel charts
Multi-source data integration for MOVE, VIX, JGB yields, and FRED credit spreads

使用场景

Assessing the global impact of Japanese Government Bond (JGB) volatility on risk assets
Monitoring if bond market stability is signaling an upcoming decline in the VIX
Validating macro-level trade narratives with quantitative lead/lag evidence