## Figure 1.SF.4. Equity Volatility, High-Yield Spreads, and Days with Liquidity Strain

## Source details

**Canonical URL:** [Figure 1.SF.4. Equity Volatility, High-Yield Spreads, and Days with Liquidity Strain](https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-4.pdf)

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### Data and definitions
- Variable labels and notes:
  - Liquidity strain; Equity volatility (left scale); High-yield spreads (right scale)
  - Note: VIX = Chicago Board Options Exchange Volatility Index.
  - Sources: Bloomberg Finance L.P.; and IMF staff calculations.

### Time coverage and tick labels
- Date ticks shown exactly as in the figure:
  - Jan. 2018
  - Feb. 18
  - Mar. 18
  - Apr. 18
  - May 18
  - Jun. 18
  - Jul. 18
  - Aug. 18
  - Sep. 18
  - Oct. 18
  - Nov. 18
  - Dec. 18
  - Jan. 19
  - Feb. 19

### Axis numeric values (preserved exactly)
- Right-side axis numeric values (basis points): 300; 350; 400; 450; 500; 550; 600
- Left-side axis numeric values (percentage points): 0; 40; 5; 10; 15; 20; 25; 30; 35

### Annotated episodes and categorizations shown on the figure
- VIX tantrum
- VIX rise accompanied by liquidity strain
- VIX rise but no evidence of liquidity strain

### Key graphical relationships depicted
- Co-movement between Equity volatility (VIX) and High-yield spreads is illustrated alongside the frequency of days with liquidity strain.
- Episodes are flagged where VIX increases coincide with liquidity strain versus where VIX increases occur without evidence of liquidity strain.

*Sources: Bloomberg Finance L.P.; and IMF staff calculations.*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2019/april/english/ch1data/charts/figure1-sf-4.pdf_