September 5, 2006
Credit Derivative Index Signaling a Return to Complacency
I learned about the Dow Jones Credit Derivative Indexes from reading this week’s Barron’s. I immediately recognized their value as a sentiment indicator and have added them to my arsenal. Dow Jones only provides historical data back to April 2005, so if anyone has older data I’d love if you shared it with me.
You can see from the chart below that the investment grade spread (inverted) is returning to the “complacent” edge of the channel which throws my call of the S&P 500 passing the May high in doubt. Darn crosscurrents.
Cat: | Time: 11:16 pm (utc+8)
September 6th, 2006 at 5:11 pm
[…] Maoxian shows an interesting indicator based on this index.Credit Derivative Index Signaling a Return to Complacency […]
September 8th, 2006 at 1:18 pm
CM, do you have a link to a daily updated Credit Derivative Index chart?
September 8th, 2006 at 1:30 pm
stockyoda: I don’t and no one has offered me any back data either (sigh). Here’s the 5-day chart at Yahoo!
September 8th, 2006 at 2:15 pm
Something similar is AFBQX; it’s a mutual fund but tracks a bucket of CDSs
September 10th, 2006 at 7:40 am
I requested stockcharts carry these and they have complied (they always do). You can now chart the $djcdxni and $djcdxem fwiw. You’re welcome :)
September 10th, 2006 at 9:15 am
mojave: Beautiful, thanks. Glad to hear stockcharts.com listens to their customers. (Looks like the data started in early 2005, so I’m glad to see I have all the available back data.)
September 11th, 2006 at 3:23 pm
How would AFBQX be relavent to the DJ Credit Derivative Index? Wouldn’t it just track bank interest rate levels?
September 18th, 2006 at 10:59 am
[…] The third panel up with the red bars is the ISE Sentiment Index which has stayed very high week after week (people are buying a disproportionate number of put options) and is the main reason I’m so sure new highs are in the cards. The top panel with the black bars is the CDX Index, which I wrote about here). This too is showing complacency which isn’t good for the bulls. […]
June 3rd, 2007 at 2:34 am
Those who’ve been following the CDX at all probably know far more about this, but you can no longer get the CDX Index data from the djindexes.com website, and the stockcharts.com data terminates in April.
Dow Jones “debranded” the CDX on March 20, 2007.
Data and charts for the CDX Indexes are still available at:
http://www.markit.com/information/affiliations/cdx.html
June 3rd, 2007 at 2:48 pm
mystery ham: Thanks for the link; I was aware that the data was no longer available from djindexes and it’s not carried on the Bloomberg either (dumb).