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 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 | 4358.69 | 0 | 0.75 | -2.6 | 72.32 | -0.36 | 2.64 | 4.09 | 0.35798 |
| 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 |