analyze-move-risk-gauges-leadlag

<essential_principles>

The MOVE Index (Merrill Lynch Option Volatility Estimate Index) is an indicator that measures the implied volatility of U.S. Treasury options:

MOVE low/falling: The rates market expects lower future volatility, and risk appetite rises
MOVE high/rising: The rates market is in panic, and demand for hedging increases

MOVE is often regarded as the "VIX of the bond market" and can serve as a leading signal for other risk indicators.

Use Cross-Correlation to determine the leading/lagging relationship between two series:

Calculate the correlation coefficient within the shift range [-L, +L]
The maximum correlation appears at lag > 0: X leads Y
The maximum correlation appears at lag < 0: X lags Y
The maximum correlation appears at lag ≈ 0: Moving synchronously

Typical setting: L = 20 (trading days), with smoothing applied to reduce noise.

Test "whether MOVE is spooked when interest rate events (such as a JGB yield jump) occur":

Define shock events: |ΔY[t-k:t]| ≥ threshold (e.g., 15bp)
Check the change in MOVE within the event window
If the MOVE response < the median of the historical distribution → "not spooked"

This logic can verify the narrative that "interest rate volatility is insensitive to a certain event."

This skill uses Chrome CDP to connect to MacroMicro and retrieve real data:

MOVE Index: MacroMicro (CDP) - https://en.macromicro.me/charts/35584/us-treasury-move-index
JGB 10Y: MacroMicro (CDP) - https://en.macromicro.me/charts/944/jp-10-year-goverment-bond-yield
VIX: Yahoo Finance (yfinance)
Credit (IG OAS): FRED (BAMLC0A0CM)

Important: MOVE and JGB need to be obtained through a Chrome CDP crawler. Please refer to <quick_start> for the steps to start Chrome.

</essential_principles>

Data retrieval: Obtain MOVE, VIX, credit spreads, and JGB yields from public sources
Standardization processing: Z-scores, smoothing, frequency alignment
Lead-lag analysis: Cross-correlation to find the lead/lag of MOVE vs VIX / credit spreads
Event window testing: Whether MOVE is "not spooked" during JGB shock events
Directional consistency: When MOVE moves down, whether other risk indicators also move down simultaneously

Output: lead-lag determination, panic test results, directional consistency ratio, quantitative evidence.

<quick_start>

Before running the analysis, Chrome debugging mode must be started first

Step 1: Close all Chrome windows

Step 2: Start Chrome with the debugging port (Windows)

"C:\Program Files\Google\Chrome\Application\chrome.exe" ^
  --remote-debugging-port=9222 ^
  --remote-allow-origins=* ^
  --user-data-dir="%USERPROFILE%\.chrome-debug-profile" ^
  "https://en.macromicro.me/charts/35584/us-treasury-move-index"

Step 3: Open a second tab in the browser and load the JGB page

https://en.macromicro.me/charts/944/jp-10-year-goverment-bond-yield

Step 4: Wait for the charts on both pages to fully load (about 30-40 seconds)

Step 5: Run the analysis

cd .claude/skills/analyze-move-risk-gauges-leadlag/scripts
pip install pandas numpy yfinance requests websocket-client matplotlib  # 首次使用
python analyze.py --start 2024-01-01 --end 2026-01-31 --output-mode markdown

Step 6 (optional): Generate Bloomberg-style visualization charts

# 方式一：分析時同時生成圖表
python analyze.py --start 2024-01-01 --end 2026-01-31 --output-mode markdown --chart

# 方式二：單獨生成圖表（自動使用快取數據）
python visualize.py --start 2024-01-01 --end 2026-01-31

Default chart output path:{專案根目錄}/output/move-leadlag-YYYY-MM-DD.png

Output example:

## 結論

- 利率波動率（MOVE）對「JGB 殖利率衝擊」反應偏弱 / 未顯著升溫 → **not spooked**
- MOVE 的變化在統計上呈現 **領先 4-6 天** 的特徵
- MOVE 下行時，VIX / 信用利差同步走低的比例：VIX = 62%、Credit = 60%

</quick_start>

Quick check - Check the current lead-lag status and panic level of MOVE
Full analysis - Run the complete lead-lag and event window analysis
Visualization charts - Generate multi-panel analysis result charts
Methodology learning - Understand the logic of Lead/Lag analysis and event window testing

Please choose or directly provide the analysis parameters.

Important: Before running the analysis, you must ensure that Chrome CDP has been started and the MOVE and JGB pages have been loaded.

<directory_structure>

analyze-move-risk-gauges-leadlag/
├── SKILL.md                           # 本文件（路由器）
├── skill.yaml                         # 前端展示元數據
├── manifest.json                      # 技能元數據
├── cache/                             # 數據快取目錄
├── workflows/
│   ├── analyze.md                     # 完整分析工作流
│   └── visualize.md                   # 視覺化工作流
├── references/
│   ├── data-sources.md                # 資料來源與替代方案
│   ├── methodology.md                 # Lead/Lag 與事件窗方法論
│   └── input-schema.md                # 完整輸入參數定義
├── templates/
│   ├── output-json.md                 # JSON 輸出模板
│   └── output-markdown.md             # Markdown 報告模板
└── scripts/
    ├── analyze.py                     # 主分析腳本
    ├── fetch_data.py                  # 數據抓取工具 (CDP + FRED + Yahoo)
    ├── visualize.py                   # Lead/Lag 綜合圖表繪圖工具
    └── visualize_rates_move.py        # 利率 vs MOVE 恐慌專題圖表（可帶入任何國家債券）

</directory_structure>

<reference_index>

Methodology: references/methodology.md

Lead/Lag Cross-Correlation Analysis
Z-Score Standardization
Event Window Test Logic

Data Sources: references/data-sources.md

MOVE Index: MacroMicro CDP
JGB 10Y: MacroMicro CDP
VIX: Yahoo Finance
Credit (IG OAS): FRED
Data Frequency and Alignment

Input Parameters: references/input-schema.md

Complete Parameter Definitions
Default Values and Recommended Ranges

</reference_index>

<workflows_index>

Workflow	Purpose	When to Use
analyze.md	Complete Lead/Lag Analysis	When a detailed analysis report is needed
visualize.md	Generate Visualized Charts	When chart presentation is needed
</workflows_index>

<templates_index>

Template	Purpose
output-json.md	JSON Output Structure Definition
output-markdown.md	Markdown Report Template
</templates_index>

<scripts_index>

Script	Command	Purpose
analyze.py	`--quick`	Quickly check the current status
analyze.py	`--start DATE --end DATE`	Complete analysis
analyze.py	`--start DATE --end DATE --chart`	Analyze and generate a comprehensive Lead/Lag chart
analyze.py	`--start DATE --end DATE --rates-chart`	Analyze and generate an interest rate vs MOVE thematic chart
analyze.py	`--rates-chart --rates-col BUND10Y --rates-name "Bund 10Y"`	Specify bond analysis for other countries
fetch_data.py	`--start DATE --end DATE`	Fetch data separately
visualize.py	`--start DATE --end DATE`	Independently generate a comprehensive Lead/Lag chart
visualize_rates_move.py	`--start DATE --end DATE --rates-col JGB10Y --rates-name "JGB 10Y"`	Independently generate an interest rate vs MOVE panic thematic chart
</scripts_index>

<input_schema_summary>

Core Parameters

Parameter	Type	Default Value	Description
start_date	string	-	Start date (YYYY-MM-DD)
end_date	string	-	End date (YYYY-MM-DD)
rates_vol_symbol	string	MOVE	Interest Rate Volatility Indicator
equity_vol_symbol	string	VIX	Equity Market Volatility Indicator
credit_spread_symbol	string	CDX_IG_PROXY	Credit Spread/Risk Indicator
jgb_yield_symbol	string	JGB10Y	Japan 10Y Yield

Analysis Parameters

Parameter	Type	Default Value	Description
freq	string	D	Frequency (D=Daily / W=Weekly)
smooth_window	int	5	Smoothing Moving Average Window
zscore_window	int	60	Z-Score Lookback Window
lead_lag_max_days	int	20	Maximum Cross-Correlation Lag Days
shock_window_days	int	5	Event Window Days
shock_threshold_bps	float	15	JGB Shock Threshold (bps)
output_mode	string	markdown	Output Format

For complete parameter definitions, see references/input-schema.md。

</input_schema_summary>

<output_schema_summary>

{
  "skill": "analyze-move-risk-gauges-leadlag",
  "as_of": "2026-01-23",
  "status": "ok",
  "headline": "MOVE not spooked by JGB yield moves and appears to lead VIX/Credit lower.",
  "leadlag": {
    "MOVE_vs_VIX": {"best_lag_days": 6, "corr": 0.72},
    "MOVE_vs_CREDIT": {"best_lag_days": 4, "corr": 0.61}
  },
  "spooked_check": {
    "shock_definition": "abs(JGB10Y change over 5d) >= 15bp",
    "shock_count": 3,
    "mean_MOVE_reaction_on_shocks": 0.8,
    "MOVE_zscore_now": -0.4
  },
  "direction_alignment": {
    "MOVE_down_and_VIX_down_ratio": 0.58,
    "MOVE_down_and_CREDIT_down_ratio": 0.55
  }
}

For the complete output structure, see templates/output-json.md。 </output_schema_summary>

<success_criteria> On successful execution, the following should be produced:

The optimal lead days and correlation coefficient for MOVE vs VIX / Credit
Number of JGB shock events and average MOVE response
MOVE current Z-Score (panic level)
Directional consistency ratio
One-sentence conclusion and quantitative evidence
Visualized charts (optional) </success_criteria>

<chrome_cdp_reference>

Chrome CDP Launch Command

Windows

"C:\Program Files\Google\Chrome\Application\chrome.exe" ^
  --remote-debugging-port=9222 ^
  --remote-allow-origins=* ^
  --user-data-dir="%USERPROFILE%\.chrome-debug-profile" ^
  "https://en.macromicro.me/charts/35584/us-treasury-move-index"

macOS

/Applications/Google\ Chrome.app/Contents/MacOS/Google\ Chrome \
  --remote-debugging-port=9222 \
  --remote-allow-origins=* \
  --user-data-dir="$HOME/.chrome-debug-profile" \
  "https://en.macromicro.me/charts/35584/us-treasury-move-index"

Verify Connection

curl -s http://127.0.0.1:9222/json

Pages to Open

MOVE Index: https://en.macromicro.me/charts/35584/us-treasury-move-index
JGB 10Y: https://en.macromicro.me/charts/944/jp-10-year-goverment-bond-yield

</chrome_cdp_reference>

<visualization_reference>

Bloomberg-Style Visualized Charts

The charts generated by this skill follow the thoughts/shared/guide/bloomberg-style-chart-guide.md specification.

Chart Structure (2x3 Layout)

┌──────────────┬─────────────────────────────────┐
│ 交叉相關分析  │ 波動率指標時間序列               │
│   (1,1)      │      (1,2) + (1,3)              │
├──────────────┼─────────────────────────────────┤
│ 事件反應分布  │ 標準化序列（Z 分數）            │
│   (2,1)      │      (2,2) + (2,3)              │
└──────────────┴─────────────────────────────────┘

Position	Panel Name	Content
Top Left (1,1)	Cross-Correlation Analysis	Lead/lag curve of MOVE vs VIX/Credit
Bottom Left (2,1)	Event Response Distribution	Histogram of MOVE changes during JGB shocks + determination results
Top Right (spanning 2 columns)	Volatility Time Series	MOVE Index + VIX (dual axis) + shock event markers
Bottom right (spanning 2 columns)	Standardized series	MOVE/VIX/Credit Z-score + current MOVE marker

Color scheme

COLORS = {
    "background": "#1a1a2e",   # 深藍黑色背景
    "primary": "#ff6b35",       # 橙紅色（MOVE）
    "secondary": "#ffaa00",     # 橙黃色（VIX）
    "tertiary": "#ffff00",      # 黃色（Credit）
    "jgb": "#00ff88",           # 綠色（JGB/未恐慌）
    "shock_line": "#ff4444",    # 紅色（衝擊/恐慌）
}

Chart output

Default path: {專案根目錄}/output/move-leadlag-YYYY-MM-DD.png
Resolution: 150 DPI
Size: 18x10 inches
Format: PNG

CLI parameters

# 分析時自動生成 Lead/Lag 綜合圖表
python analyze.py --start 2024-01-01 --end 2026-01-31 --chart

# 生成利率 vs MOVE 恐慌專題圖表（預設 JGB 10Y）
python analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart

# 指定其他國家債券（如 Bund 10Y）
python analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart \
  --rates-col BUND10Y --rates-name "Bund 10Y"

# 同時生成兩種圖表
python analyze.py --start 2024-01-01 --end 2026-01-31 --chart --rates-chart

# 單獨生成圖表
python visualize.py --start 2024-01-01 --end 2026-01-31
python visualize_rates_move.py --start 2024-01-01 --end 2026-01-31 --rates-col JGB10Y --rates-name "JGB 10Y"

</visualization_reference>

<rates_move_chart_reference>

Interest Rates vs MOVE Panic Feature Chart

A general-purpose interest rate volatility panic analysis chart,can be populated with bond yields from any country/region。

Focused on answering: "Is MOVE panicking about [specified bond] yield changes?"

Supported bonds (must exist in the data)

Parameter value (--rates-col)	Display name (--rates-name)	Description
JGB10Y	"JGB 10Y"	Japan 10-year government bond (default)
UST10Y	"UST 10Y"	US 10-year government bond
BUND10Y	"Bund 10Y"	Germany 10-year government bond
GILT10Y	"Gilt 10Y"	UK 10-year government bond
(Custom)	(Custom)	Any interest rate column present in the data

Usage example

# 分析 JGB 10Y vs MOVE（預設）
python analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart

# 分析 Bund 10Y vs MOVE
python analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart \
  --rates-col BUND10Y --rates-name "Bund 10Y"

# 獨立生成圖表
python visualize_rates_move.py --start 2024-01-01 --end 2026-01-31 \
  --rates-col JGB10Y --rates-name "JGB 10Y"

Chart structure

┌─────────────────────────────────────────────────┐
│           [利率名稱] vs MOVE 時序圖              │
│           （雙軸對比 + 衝擊事件標記）            │
├───────────────────────┬─────────────────────────┤
│   利率變化 vs MOVE    │     恐慌判定儀表板       │
│   反應散點圖 + 回歸線  │   （統計數據 + 結論）    │
└───────────────────────┴─────────────────────────┘

Position	Panel name	Content
Top	Time series comparison	Dual-axis chart of specified rate (green) + MOVE (orange), with yellow dashed lines marking shock events
Bottom left	Scatter analysis	Rate change (bps) vs MOVE change, including regression line and correlation coefficient
Bottom right	Determination dashboard	Panic/no-panic determination result, statistics, interpretation notes

Color scheme

COLORS = {
    "move": "#ff6b35",          # 橙紅色（MOVE）
    "rates": "#00ff88",         # 綠色（利率）
    "spooked": "#ff4444",       # 紅色（恐慌判定）
    "not_spooked": "#00ff88",   # 綠色（未恐慌判定）
    "shock_marker": "#ffff00",  # 黃色（衝擊事件標記）
}

Output path

Default path: {專案根目錄}/output/{rates-name}-move-panic-YYYY-MM-DD.png
Example:output/jgb-10y-move-panic-2026-01-23.png

</rates_move_chart_reference>

About this skill

Chrome CDP Launch Command

Windows

macOS

Verify Connection

Pages to Open

Bloomberg-Style Visualized Charts

Chart Structure (2x3 Layout)

Color scheme

Chart output

CLI parameters

Interest Rates vs MOVE Panic Feature Chart

Supported bonds (must exist in the data)

Usage example

Chart structure

Color scheme

Output path