Move Index

The MOVE Index (Merrill Lynch Option Volatility Estimate) measures the market’s expectation of implied volatility of the US bond market using 1-month Treasury options weighted for 2, 5, 10, and 30 year contracts. The MOVE Index is used by MacroVar proprietary risk management model.

BofA Move Index closed up by 13.91% to 65.28 on 23 January 2021 and +11.32% on a weekly basis. BofA Move Index momentum was last calculated at +100.0/100 indicating positive momentum. BofA Move Index trend is +0.0/100 indicating a positive trend. BofA Move Index momentum exhaustion is -0.46772 indicating BofA Move Index is oversold.BofA Move Index RSI is 57.168 .

Move Index Chart

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Date Value
23/05/2022 110,19
20/05/2022 111,10
19/05/2022 115,05
18/05/2022 114,86
17/05/2022 119,46
16/05/2022 117,95
13/05/2022 114,61
12/05/2022 118,73
11/05/2022 118,05
10/05/2022 126,76

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Move Index

Move Index Statistics

BofA Move Index closed at 65.28 on 23 January 2021. BofA Move Index trend was last calculated at +0.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. BofA Move Index momentum was last calculated at +100.0/100 (range: -100 to +100) indicating positive momentum. BofA Move Index momentum exhaustion is -0.46772 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating BofA Move Index is oversold and a possible reversal is imminent. BofA Move Index RSI was last calculated at 57.168. BofA Move Index moving averages were last recorded as follows: 1-month moving average: 46.203 in an uptrend , 1-quarter moving average: 49.2493 in an uptrend and 1-year moving average: 59.0938 in a downtrend. BofA Move Index annual return was last recorded at None%, daily return was last recorded at 13.91%, and weekly return was last recorded at 11.32%. BofA Move Index histrorical 20-day volatility was last recorded at 73.4326%, BofA Move Index alpha None, BofA Move Index beta None and BofA Move Index maximum drawdown was recorded at None%. MacroVar models monitor BofA Move Index statistics based on historical data since 1970.

The MOVE index is a well-recognized measure of US interest rate volatility that tracks the movement of the U.S. treasury yield volatility implied by current prices of one-month over-the-counter options on the two-year, five-year, ten-year and thirty-year treasuries. The MOVE index provides a signal for changing risk sentiment in the fixed income markets.

United States Markets

Market Symbol Last Mom Trend Exh RSI 1D% 1W% 1M% 1Y%
S&P 500 SPX 4631.6 0.5 0.75 1.15518 65.2704 0.01226 0.0266 0.07555 0.17002
S&P 500 ETF SPY 461.55 0.5 0.75 1.13178 64.9928 0.01237 0.0266 0.07342 0.16928
US Dollar Index (DXY) DXY 98.4 0 0.75 1.83163 53.8105 -0.00696 -0.00091 0.01016 0.06771
United States 10-Year Bond Yield US.10Y 2.401 0.5 1 3.29617 65.7225 -0.02596 0.00671 0.39188 0.43437
US 5-year bond yield US.5Y 2.5 0.5 1 3.14743 70.948 -0.02534 0.04123 0.57035 1.8772
US 30-year bond yield US.30Y 2.505 0 1 2.2036 57.5522 -0.01803 -0.03765 0.19002 0.0609
iShares 20+ Year Treasury Bond ETF TLT 130.74 0 -1 -2.32803 42.1677 0.00755 0.01601 -0.07473 -0.04016
iShares iBoxx $ Investment Grade Corporate Bond LQD 120.94 0 -0.75 -2.4614 46.1304 0.00842 0.00926 -0.03225 -0.06761
iShares iBoxx $ High Yield Corporate Bond HYG 82.84 0 -0.75 -1.97536 54.1115 0.01234 0.01024 -0.00349 -0.04518
iShares 7-10 Year Treasury Bond ETF IEF 106.85 -0.5 -1 -3.27991 34.5464 0.00498 -0.00196 -0.05534 -0.05518
SPDR Barclays High Yield Bond JNK 103.11 0 -0.75 -2.03596 53.8091 0.01217 0.0093 -0.00358 -0.04863
iShares TIPS Bond (TIP) TIP 126.72 -0.5 0 -0.60482 51.2291 -0.00307 -0.01385 0.02417 0.01457
US 2-year bond yield US.2Y 2.375 1 1 3.35389 81.2651 0.01496 0.09195 0.76056 14.5534
US Yield Curve US.YC 1.08 0 1 1.74858 55.6394 -3.57 -11.55 -25.28 1.91241
US Yield Curve 2s5s US.YC25 0.53 0 0.5 1.38639 50.8504 -7.67 -13.96 -22.82 3.08475
US Yield Curve 5s10s US.YC510 0.55 0 1 1.84348 58.6679 -0.18 -9.69 -27.56 1.73529
US Yield Curve 5s30s US.YC530 1.2 0 0.75 1.21768 52.8329 2.13 -2.28 -16.56 0.9709
US Yield Curve 10s30s US.YC1030 0.65 -1 -0.5 0.52721 45.0387 4.17 5.01 -4.26 0.5283
US Yield Curve 2s30s US.YC0230 1.73 0 0.75 1.31448 52.3027 -1.09 -6.18 -18.58 1.14607