While researching venues and third party systems supported in the fixed income trading world, I took a deeper look at the MarketAxess website the this week.
While browsing through the documentation, I ended up on their research page where they demo their new index, the BASI.
This index measures the liquidity of the fixed income market in the US and in Europe (they have two versions of it) based on the bid-ask spread.
Looking at that chart, the correlation with the VIX index is striking. I tend to think it has been back-fitted at little but the interesting part is that it is starting to move upwards again.
Are investors starting to slowly move out of stocks to start buying more bonds? Is 2015 going to be a new volatile year?
Anyways, this is an interesting index I will keep my eyes on in the future, and I thought was worth sharing.
v-frog 