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 Chartstmk81449 var1=33986end
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
|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|