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

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

MarketSymbolLastMomTrendExhRSI1D%1W%1M%1Y%
S&P 500SPX4358.6900.75-2.672.32-0.362.644.090.35798
S&P 500 ETFSPY434.550.511.5549358.155-0.392.74.060.14736
US Dollar Index (DXY)DXY92.750-1-0.535243.81760.371.032.36-0.07489
United States 10-Year Bond YieldUS.10Y1.29-0.50.250.1130751.7114-4.09-13.19-19.85-0.49589
US 5-year bond yieldUS.5Y0.74-0.5-0.25-0.3708346.288-7.38-16-13.02-0.78074
US 30-year bond yieldUS.30Y1.94-0.50.250.4281449.6785-1.72-8.01-15.24-0.28429
iShares 20+ Year Treasury Bond ETFTLT148.1-0.5-0.5-0.4151343.34660.843.17.070.13041
iShares iBoxx $ Investment Grade Corporate BondLQD135.27-0.50.50.828646.4450.31.113.350.06823
iShares iBoxx $ High Yield Corporate BondHYG87.730.50.750.9365661.2482-0.140.080.29-0.01112
iShares 7-10 Year Treasury Bond ETFIEF117.13-0.5-0.5-0.0390745.38450.551.522.840.07499
SPDR Barclays High Yield BondJNK109.6410.750.977162.5206-0.120.130.58-0.00992
iShares TIPS Bond (TIP)TIP128.70.511.3297774.31140.070.811.280.08835
US 2-year bond yieldUS.2Y0.21-1-1-0.5522342.4592-6.67-20.7527.97-0.92399
US Yield CurveUS.YC1.08011.7485855.6394-3.57-11.55-25.281.91241
US Yield Curve 2s5sUS.YC250.5300.51.3863950.8504-7.67-13.96-22.823.08475
US Yield Curve 5s10sUS.YC5100.55011.8434858.6679-0.18-9.69-27.561.73529
US Yield Curve 5s30sUS.YC5301.200.751.2176852.83292.13-2.28-16.560.9709
US Yield Curve 10s30sUS.YC10300.65-1-0.50.5272145.03874.175.01-4.260.5283
US Yield Curve 2s30sUS.YC02301.7300.751.3144852.3027-1.09-6.18-18.581.14607
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