This is how the macro set has actually moved together: Treasuries, equities, the dollar, gold, crude, high yield credit and volatility, correlated on daily returns over four windows. Posted to the terminal twice each weekday, 10am and 3pm ET.
| 10Y | 5Y | S&P 500 | Dollar | Gold | Crude Oil | HY ETF | VIX | |
|---|---|---|---|---|---|---|---|---|
| UST 10Y | +1.00 | +0.94 | -0.38 | +0.22 | -0.28 | +0.39 | -0.74 | +0.19 |
| UST 5Y | +0.94 | +1.00 | -0.39 | +0.27 | -0.32 | +0.36 | -0.71 | +0.17 |
| S&P 500 | -0.38 | -0.39 | +1.00 | -0.27 | +0.39 | -0.54 | +0.71 | -0.72 |
| Dollar | +0.22 | +0.27 | -0.27 | +1.00 | -0.48 | -0.02 | -0.37 | +0.37 |
| Gold | -0.28 | -0.32 | +0.39 | -0.48 | +1.00 | -0.11 | +0.43 | -0.48 |
| Crude Oil | +0.39 | +0.36 | -0.54 | -0.02 | -0.11 | +1.00 | -0.45 | +0.36 |
| HY Credit ETF | -0.74 | -0.71 | +0.71 | -0.37 | +0.43 | -0.45 | +1.00 | -0.56 |
| VIX | +0.19 | +0.17 | -0.72 | +0.37 | -0.48 | +0.36 | -0.56 | +1.00 |
moved together · moved opposite. The stronger the colour, the stronger the relationship, and over 60 days the strongest pair is UST 10Y and HY Credit ETF at -0.74.
The downloads carry the current reading. The archive and live data come through the Helious API and MCP at api.helious.io/mcp.
Ordered by the strength of the 60-day reading. A pair that changes sign across the columns is a relationship that has turned inside the last few months.
| PAIR | 30D | 60D | 90D | 120D |
|---|---|---|---|---|
| UST 10Y vs HY Credit ETF | -0.80 | -0.74 | -0.68 | -0.74 |
| S&P 500 vs VIX | -0.78 | -0.72 | -0.82 | -0.77 |
| UST 5Y vs HY Credit ETF | -0.75 | -0.71 | -0.69 | -0.76 |
| S&P 500 vs HY Credit ETF | +0.72 | +0.71 | +0.74 | +0.75 |
| HY Credit ETF vs VIX | -0.63 | -0.56 | -0.64 | -0.59 |
| S&P 500 vs Crude Oil | -0.48 | -0.54 | -0.38 | -0.43 |
| Dollar vs Gold | -0.38 | -0.48 | -0.48 | -0.52 |
| Gold vs VIX | -0.56 | -0.48 | -0.45 | -0.46 |
| Crude Oil vs HY Credit ETF | -0.25 | -0.45 | -0.37 | -0.48 |
| Gold vs HY Credit ETF | +0.52 | +0.43 | +0.33 | +0.40 |
| UST 10Y vs Crude Oil | +0.07 | +0.39 | +0.37 | +0.49 |
| UST 5Y vs S&P 500 | -0.50 | -0.39 | -0.40 | -0.49 |
Prices correlate on their daily percentage return and yields on their daily change in basis points. Correlation is scale-invariant so the mix is sound, and using changes for yields stops a level series that barely drifts from being distorted by ratio maths. Anything that pays a distribution is read on a total-return basis, so an ex-dividend gap is never booked as a market move.
The set is aligned to a common calendar before any window is cut, so a 60-day correlation is estimated from 60 observations for every pair on the grid, not from whatever overlap each pair happened to have.
An asset whose history does not fetch is listed as not measured rather than quietly vanishing, because a missing row on a cross-asset board reads as "there is no relationship" instead of "we could not measure one". Free to cite with a link to this page.
