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 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||434.55||0.5||1||1.55493||58.155||-0.39||2.7||4.06||0.14736|
|US Dollar Index (DXY)||DXY||92.75||0||-1||-0.5352||43.8176||0.37||1.03||2.36||-0.07489|
|United States 10-Year Bond Yield||US.10Y||1.29||-0.5||0.25||0.11307||51.7114||-4.09||-13.19||-19.85||-0.49589|
|US 5-year bond yield||US.5Y||0.74||-0.5||-0.25||-0.37083||46.288||-7.38||-16||-13.02||-0.78074|
|US 30-year bond yield||US.30Y||1.94||-0.5||0.25||0.42814||49.6785||-1.72||-8.01||-15.24||-0.28429|
|iShares 20+ Year Treasury Bond ETF||TLT||148.1||-0.5||-0.5||-0.41513||43.3466||0.84||3.1||7.07||0.13041|
|iShares iBoxx $ Investment Grade Corporate Bond||LQD||135.27||-0.5||0.5||0.8286||46.445||0.3||1.11||3.35||0.06823|
|iShares iBoxx $ High Yield Corporate Bond||HYG||87.73||0.5||0.75||0.93656||61.2482||-0.14||0.08||0.29||-0.01112|
|iShares 7-10 Year Treasury Bond ETF||IEF||117.13||-0.5||-0.5||-0.03907||45.3845||0.55||1.52||2.84||0.07499|
|SPDR Barclays High Yield Bond||JNK||109.64||1||0.75||0.9771||62.5206||-0.12||0.13||0.58||-0.00992|
|iShares TIPS Bond (TIP)||TIP||128.7||0.5||1||1.32977||74.3114||0.07||0.81||1.28||0.08835|
|US 2-year bond yield||US.2Y||0.21||-1||-1||-0.55223||42.4592||-6.67||-20.75||27.97||-0.92399|
|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|