Friday, November 14, 2008

The DIX Index


There are a lot of measures of market volatility around the place, such as the Chicago Board Options Exchange VIX index, which measures the volatility of S&P 500 index options.

The thought occurs to me that, for Weatherman purposes at least, we really need a measure of the volatility of the interest rate forecasts set out by the financial market gurus we track on this site.

As we've recorded these forecasts since January 2000 it was a simple matter of measuring the standard deviation of each set of forecasts, and summing them month by month.

The result is the DIX index, a name which suggested itself.  As you can see it's been quite steady for years, and on several occasions hit zero as the forecasters were all in complete harmony.

Alas those days are long gone, with discord replacing harmony as it has with so many things. 

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