analyze-move-risk-gauges-leadlag
CommunityDecode MOVE leadership in rate shocks.
Authorfatfingererr
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps analysts determine whether MOVE, the rate-volatility proxy, leads or lags VIX and credit spreads, and whether MOVE reacts calmly or fearfully during JGB yield moves.
Core Features & Use Cases
- Lead/Lag Analysis: computes cross-correlation lags between MOVE and VIX/CREDIT to identify lead/lag relationships.
- Event Window Testing: detects JGB yield shocks and quantifies MOVE reactions.
- Normalization & Visualization: applies Z-score standardization and can generate Bloomberg-style visualizations.
- Use Case: Monitor MOVE leadership around rate surprises and quickly assess whether other risk indicators follow MOVE.
Quick Start
- Install dependencies and run the main analysis: python scripts/analyze.py --start 2024-01-01 --end 2026-01-31
- Generate a Bloomberg-style chart: python scripts/analyze.py --start 2024-01-01 --end 2026-01-31 --chart
- Produce a rates-MOVE panic chart: python scripts/analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart
Dependency Matrix
Required Modules
pandasnumpyyfinancerequestswebsocket-client
Components
scriptsreferences
💻 Claude Code Installation
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Please help me install this Skill: Name: analyze-move-risk-gauges-leadlag Download link: https://github.com/fatfingererr/macro-skills/archive/main.zip#analyze-move-risk-gauges-leadlag Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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