analyze-move-risk-gauges-leadlag

<essential_principles>

<principle name="move_as_leading_indicator"> **MOVE as a Leading Indicator for Interest Rate Volatility**

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

MOVE Low/Declining: Interest rate markets have reduced expectations of future volatility, with increased risk appetite
MOVE High/Rising: Interest rate markets are in panic, with increased safe-haven demand

MOVE is often regarded as the 'VIX of the bond market' and can serve as a leading signal for other risk indicators. </principle>

<principle name="leadlag_cross_correlation"> **Determine Lead-Lag Relationships Using Cross-Correlation**

Use Cross-Correlation to determine the lead-lag relationship between two series:

Calculate the correlation coefficient within the [-L, +L] shift range
Maximum correlation occurs when lag > 0: X leads Y
Maximum correlation occurs when lag < 0: X lags Y
Maximum correlation occurs when lag ≈ 0: Synchronous movement

Typical setting: L = 20 (trading days), with smoothing to reduce noise. </principle>

<principle name="shock_event_reaction"> **Event Window Test: Whether Spooked**

Test whether MOVE panics when interest rate events (such as JGB yield jumps) occur:

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

This logic can verify the narrative that "interest rate volatility is insensitive to certain events." </principle>

<principle name="data_access"> **Data Acquisition Methods**

This skill uses Chrome CDP to connect to MacroMicro to fetch 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 data need to be fetched via Chrome CDP crawler. Please refer to the

<quick_start>

section to launch Chrome. </principle>

</essential_principles>

<objective> Implement Lead-Lag Analysis of Interest Rate Volatility and Risk Indicators:

Data Fetching: Obtain MOVE, VIX, credit spreads, and JGB yields from public sources
Standardization Processing: Z-score, smoothing, frequency alignment
Lead-Lag Analysis: Use cross-correlation to identify the lead/lag between MOVE vs VIX / credit spreads
Event Window Test: Whether MOVE is "not spooked" during JGB shock events
Directional Consistency: Whether other risk indicators decline synchronously when MOVE declines

Output: Lead-lag determination, panic test results, directional consistency ratio, quantitative evidence. </objective>

<quick_start>

You must launch Chrome Debugging Mode before executing the analysis

Step 1: Close all Chrome windows

Step 2: Launch Chrome with Debug Port (Windows)

bash

"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: Execute the analysis

bash

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

Step 6 (Optional): Generate Bloomberg-style Visualization Charts

bash

# Option 1: Generate charts while analyzing
python analyze.py --start 2024-01-01 --end 2026-01-31 --output-mode markdown --chart

# Option 2: Generate charts independently (automatically uses cached data)
python visualize.py --start 2024-01-01 --end 2026-01-31

Default chart output path:

{project_root}/output/move-leadlag-YYYY-MM-DD.png

Output Example:

## Conclusion

- Interest Rate Volatility (MOVE) has a weak response to "JGB yield shocks" / no significant warming → **not spooked**
- MOVE changes statistically exhibit the characteristic of **leading by 4-6 days**
- When MOVE declines, the ratio of synchronous declines in VIX / credit spreads: VIX = 62%, Credit = 60%

</quick_start>

<intake> What operation do you need to perform?

Quick Check - View the current lead-lag status and panic level of MOVE
Full Analysis - Execute 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 select or directly provide analysis parameters. </intake>

<routing> | Response | Action | |------------------------------|----------------------------------------------------------------------| | 1, "quick", "check" | Confirm Chrome CDP is launched, execute `python scripts/analyze.py --quick` | | 2, "full", "analyze" | Read `workflows/analyze.md` and execute | | 3, "chart", "plot" | Read `workflows/visualize.md` and execute | | 4, "learn", "methodology", "why" | Read `references/methodology.md` | | Provide parameters (e.g., date range) | Read `workflows/analyze.md` and execute with parameters |

Important: Ensure Chrome CDP is launched and the MOVE and JGB pages are loaded before executing the analysis. </routing>

<directory_structure>

analyze-move-risk-gauges-leadlag/
├── SKILL.md                           # This file (router)
├── skill.yaml                         # Frontend display metadata
├── manifest.json                      # Skill metadata
├── cache/                             # Data cache directory
├── workflows/
│   ├── analyze.md                     # Complete analysis workflow
│   └── visualize.md                   # Visualization workflow
├── references/
│   ├── data-sources.md                # Data sources and alternatives
│   ├── methodology.md                 # Lead/Lag analysis and event window testing methodology
│   └── input-schema.md                # Complete input parameter definitions
├── templates/
│   ├── output-json.md                 # JSON output template
│   └── output-markdown.md             # Markdown report template
└── scripts/
    ├── analyze.py                     # Main analysis script
    ├── fetch_data.py                  # Data fetching tool (CDP + FRED + Yahoo)
    ├── visualize.py                   # Lead/Lag comprehensive chart plotting tool
    └── visualize_rates_move.py        # Interest rate vs MOVE panic thematic chart (supports any country's bonds)

</directory_structure>

<reference_index>

Methodology: references/methodology.md

Lead/Lag Cross-Correlation Analysis
Z-score Standardization
Event Window Testing 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	Usage Scenario
analyze.md	Complete Lead-Lag Analysis	When a detailed analysis report is needed
visualize.md	Generate Visualization 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`	Quick Check of Current Status
analyze.py	`--start DATE --end DATE`	Complete Analysis
analyze.py	`--start DATE --end DATE --chart`	Analyze and Generate Lead/Lag Comprehensive Charts
analyze.py	`--start DATE --end DATE --rates-chart`	Analyze and Generate Interest Rate vs MOVE Thematic Charts
analyze.py	`--rates-chart --rates-col BUND10Y --rates-name "Bund 10Y"`	Analyze Specified Foreign Government Bonds
fetch_data.py	`--start DATE --end DATE`	Independent Data Fetching
visualize.py	`--start DATE --end DATE`	Independent Generation of Lead/Lag Comprehensive Charts
visualize_rates_move.py	`--start DATE --end DATE --rates-col JGB10Y --rates-name "JGB 10Y"`	Independent Generation of Interest Rate vs MOVE Panic Thematic Charts
</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 Government Bond 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 Shift Days for Cross-Correlation
shock_window_days	int	5	Event Window Days
shock_threshold_bps	float	15	JGB Shock Threshold (bps)
output_mode	string	markdown	Output Format

Complete parameter definitions can be found in

references/input-schema.md

</input_schema_summary>

<output_schema_summary>

json

{
  "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
  }
}

Complete output structure can be found in

templates/output-json.md

. </output_schema_summary>

<success_criteria> Successful execution should produce:

Optimal lead days and correlation coefficient for MOVE vs VIX / Credit
Number of JGB shock events and average MOVE reaction
Current Z-score of MOVE (panic level)
Directional consistency ratio
One-sentence conclusion and quantitative evidence
Visualization charts (optional) </success_criteria>

<chrome_cdp_reference>

Chrome CDP Launch Commands

Windows

bash

"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

bash

/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

bash

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 Visualization Charts

Charts generated by this skill follow the specifications in

thoughts/shared/guide/bloomberg-style-chart-guide.md

Chart Structure (2x3 Layout)

┌──────────────┬─────────────────────────────────┐
| Cross-Correlation Analysis  | Volatility Indicator Time Series               |
|   (1,1)      |      (1,2) + (1,3)              |
├──────────────┼─────────────────────────────────┤
| Event Reaction Distribution  | Standardized Series (Z-score)            |
|   (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 Reaction Distribution	Histogram of MOVE changes during JGB shocks + determination results
Top-right (spans 2 cols)	Volatility Time Series	MOVE Index + VIX (dual-axis) + shock event markers
Bottom-right (spans 2 cols)	Standardized Series	Z-scores of MOVE/VIX/Credit + current MOVE marker

Color Scheme

python

COLORS = {
    "background": "#1a1a2e",   # Dark blue-black background
    "primary": "#ff6b35",       # Orange-red (MOVE)
    "secondary": "#ffaa00",     # Orange-yellow (VIX)
    "tertiary": "#ffff00",      # Yellow (Credit)
    "jgb": "#00ff88",           # Green (JGB/not spooked)
    "shock_line": "#ff4444",    # Red (shock/spooked)
}

Chart Output

Default Path:

{project_root}/output/move-leadlag-YYYY-MM-DD.png

Resolution: 150 DPI
Size: 18x10 inches
Format: PNG

CLI Parameters

bash

# Generate Lead/Lag comprehensive chart while analyzing
python analyze.py --start 2024-01-01 --end 2026-01-31 --chart

# Generate Interest Rate vs MOVE panic thematic chart (default JGB 10Y)
python analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart

# Specify other country's bonds (e.g., Bund 10Y)
python analyze.py --start 2024-01-01 --end 2026-01-31 --rates-chart \
  --rates-col BUND10Y --rates-name "Bund 10Y"

# Generate both charts simultaneously
python analyze.py --start 2024-01-01 --end 2026-01-31 --chart --rates-chart

# Generate charts independently
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 Rate vs MOVE Panic Thematic Chart

A universal interest rate volatility panic analysis chart that can incorporate bond yields from any country/region.

Focuses on answering: "Is MOVE spooked by yield changes of [specified bond]?"

Supported Bonds (Must Exist in Data)

Parameter Value (--rates-col)	Display Name (--rates-name)	Description
JGB10Y	"JGB 10Y"	Japan 10-Year Government Bond (Default)
UST10Y	"UST 10Y"	U.S. 10-Year Government Bond
BUND10Y	"Bund 10Y"	German 10-Year Government Bond
GILT10Y	"Gilt 10Y"	UK 10-Year Government Bond
(Custom)	(Custom)	Any interest rate field existing in the data

Usage Examples

bash

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

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

# Generate chart independently
python visualize_rates_move.py --start 2024-01-01 --end 2026-01-31 \
  --rates-col JGB10Y --rates-name "JGB 10Y"

Chart Structure

┌─────────────────────────────────────────────────┐
|           [Interest Rate Name] vs MOVE Time Series              |
|           (Dual-axis Comparison + Shock Event Markers)            |
├───────────────────────┬─────────────────────────┤
|   Interest Rate Change vs MOVE    |     Panic Determination Dashboard       |
|   Reaction Scatter Plot + Regression Line  |   (Statistical Data + Conclusion)    |
└───────────────────────┴─────────────────────────┘

Position	Panel Name	Content
Top	Time Series Comparison	Dual-axis chart of specified interest rate (green) + MOVE (orange), with yellow dashed lines marking shock events
Bottom-left	Scatter Analysis	Interest rate change (bps) vs MOVE change, including regression line and correlation coefficient
Bottom-right	Determination Dashboard	Panic/not panic determination results, statistical data, interpretation notes

Color Scheme

python

COLORS = {
    "move": "#ff6b35",          # Orange-red (MOVE)
    "rates": "#00ff88",         # Green (Interest Rate)
    "spooked": "#ff4444",       # Red (Panic Determination)
    "not_spooked": "#00ff88",   # Green (Not Spooked Determination)
    "shock_marker": "#ffff00",  # Yellow (Shock Event Marker)
}

Output Path

Default Path:

{project_root}/output/{rates-name}-move-panic-YYYY-MM-DD.png

Example:

output/jgb-10y-move-panic-2026-01-23.png

</rates_move_chart_reference>

analyze-move-risk-gauges-leadlag

NPX Install

Tags

SKILL.md Content (Chinese)

Chrome CDP Launch Commands

Windows

macOS

Verify Connection

Pages to Open

Bloomberg-Style Visualization Charts

Chart Structure (2x3 Layout)

Color Scheme

Chart Output

CLI Parameters

Interest Rate vs MOVE Panic Thematic Chart

Supported Bonds (Must Exist in Data)

Usage Examples

Chart Structure

Color Scheme

Output Path