Leading Indicators of Financial Turmoil?

In earlier posts, we discussed the spread between LIBOR and OIS, the VIX, and the bid-ask spread on CDX protection. But let's look at the three of them together:


(Click to enlarge)

The VIX is in blue, following the blue right-hand scale; LIBOR-OIS is in white, on the white right-hand scale; and the CDS bid-ask appears in red, on the left-hand scale.

Clearly, all three are almost synchronous indicators of stress in financial markets. The bid-ask spread on CDX protection seems however to be a slightly earlier indicator than the two others. In particular, it jumped before the others in July 2007 and in September 08.