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Post by johnsmith on Mar 13, 2023 20:39:02 GMT
I haven't seen this at more than 150s ever. There have to be a lot of issues with the bond market!
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Post by Deleted on Mar 13, 2023 22:28:09 GMT
A little color commentary would be helpful. I suspect I am not the only one unfamiliar with this.
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Post by Fearchar on Mar 13, 2023 23:04:21 GMT
Here is an article on the MOVE index: MOVEWhile equity investors look to the VIX index as a measure of volatility, the real source of terror is in the bond market. The MOVE Index, which measures bond market volatility, hit the 160s in March 2020 - up over four standard deviations from its post-2012 average. ICE Data Services head of indices Phil Galdi spoke with MOVE index creator Harley Bassman. Phil Galdi: Can you talk about the distinction between bond and equity market volatility, and why it's so important to pay attention to what's going on with bonds? Harley Bassman: The MOVE and the VIX are very similar in that they basically measure short dated one month volatility. The key thing is that these indices are mostly coincident indicators as opposed to forward looking, because they tend to track realized volatility. There's a very tight correlation between the realized movement, the day to day market activity of liquid instruments, and options on them. Why the MOVE was so valuable recently is that, while the VIX and equity markets get all the headlines; the bond bucket is actually much bigger, and it tends to signal things ahead of the equity market, because the underlying plumbing of finance happens in the bond market. Although the VIX went up a lot, the MOVE went up awful a lot more - and that really told you that this was a serious problem in the market, because bonds should not move more than stocks do. Phil Galdi: So when you hit times of stress, do the two indicators tell you different things about the market? I look at that portion of the chart centered around the '08 crisis, and right in the middle there a lot of similarity, but before and after there are some pretty notable deviations. further details in the article. |
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Post by richardsok on Mar 14, 2023 1:59:26 GMT
Oh great. Now there's something else to monitor on my watch list.
Other than yahoo, do you have any convenient symbols for MOVE Index? I can get it on thinkorswim, but nothing on TDAmeritrade and even Merrill L's chart is spotty
Overlay it with SPY and I see a very rough inverse mkt indicator but vastly more volatile and may not be of practical use.
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Post by johnsmith on Mar 14, 2023 2:05:28 GMT
My understanding is that when the MOVE index is high, there are problems in the bond market.
Same as when VIX is high, there are problems (high volatility) in the stock market.
If the MOVE index moves up, and the VIX is down - then it probably means that the bond market is right and stocks will see problems ahead. (this happened today, MOVE went up from 120 - 173, while VIX opened around 30 and then moved down through the day.)
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Post by Chahta on Mar 14, 2023 12:45:53 GMT
Oh great. Now there's something else to monitor on my watch list. Other than yahoo, do you have any convenient symbols for MOVE Index? I can get it on thinkorswim, but nothing on TDAmeritrade and even Merrill L's chart is spotty Overlay it with SPY and I see a very rough inverse mkt indicator but vastly more volatile and may not be of practical use. I did that as you said in PerfCharts. But is an “indicator of bond volatility” supposed to act opposite SPY or an actual bond (fund) like BAGIX? In the case of bonds they have not moved as contrary as the indicator has. |
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Post by steadyeddy on Mar 14, 2023 13:12:52 GMT
Thanks for the thread, as I learned something new about the bond market.
But, intuitively, I see why MOVE would jump higher - because of the fear that holders of long-dated bonds (Treasuries/MBS) such as the banks may flood the market selling them to raise cash.
Since uncle Sam is essentially guaranteeing all deposits that fear is alleviated - and I expect MOVE to come back down rather quickly.
Plus, PE Powell will hesitate to raise FedFunds rates any time soon due to recent events.
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Post by johnsmith on Mar 15, 2023 22:46:13 GMT
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Post by Fearchar on Mar 16, 2023 1:29:12 GMT
ICE BofA US High Yield Index Option Adjusted Spread shot up to 5.03 on Monday. Since then it has relaxed slightly to 4.74.  |
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Post by johnsmith on Mar 16, 2023 1:32:47 GMT
So what does that tell us? I'm not familiar with this one.
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Post by Fearchar on Mar 16, 2023 1:43:31 GMT
johnsmith, There was a significant rise in the level of Fear on Monday. It's subsided somewhat since then. In the past, we've seen much worse.
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Post by FD1000 on Mar 16, 2023 3:01:00 GMT
Both the VIX and the MOVE tell you risk is elevated more daily.
But, bonds show the risk much more. Today, treasuries also did great = high risk, but QQQ finished positive.
Do you believe stocks or bonds?
The saying in Wall St is the smart money follow bonds. We will know in the next several days-weeks, it's getting global.
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Post by johnsmith on Mar 16, 2023 23:47:21 GMT
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Post by newtecher on Mar 17, 2023 1:21:06 GMT
Listened to a part of the webcast. I tend to agree with his views about the economy. But why do people think it is better to rant a la Jim Cramer for 20+ minutes instead of writing a couple of paragraphs? |
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Post by johnsmith on Mar 17, 2023 2:41:15 GMT
----
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Post by johnsmith on Mar 22, 2023 21:12:36 GMT
MOVE is down to 142 from 162 yesterday.
Things are getting better in the bond market, even if they are still volatile!
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Post by FD1000 on Mar 22, 2023 23:26:11 GMT
Here is an article on the MOVE index: MOVEWhile equity investors look to the VIX index as a measure of volatility, the real source of terror is in the bond market. The MOVE Index, which measures bond market volatility, hit the 160s in March 2020 - up over four standard deviations from its post-2012 average. ICE Data Services head of indices Phil Galdi spoke with MOVE index creator Harley Bassman. Phil Galdi: Can you talk about the distinction between bond and equity market volatility, and why it's so important to pay attention to what's going on with bonds? Harley Bassman: The MOVE and the VIX are very similar in that they basically measure short dated one month volatility. The key thing is that these indices are mostly coincident indicators as opposed to forward looking, because they tend to track realized volatility. There's a very tight correlation between the realized movement, the day to day market activity of liquid instruments, and options on them. Why the MOVE was so valuable recently is that, while the VIX and equity markets get all the headlines; the bond bucket is actually much bigger, and it tends to signal things ahead of the equity market, because the underlying plumbing of finance happens in the bond market. Although the VIX went up a lot, the MOVE went up awful a lot more - and that really told you that this was a serious problem in the market, because bonds should not move more than stocks do. Phil Galdi: So when you hit times of stress, do the two indicators tell you different things about the market? I look at that portion of the chart centered around the '08 crisis, and right in the middle there a lot of similarity, but before and after there are some pretty notable deviations. further details in the article. I found Harley Bassman site( www.convexitymaven.com/2021-xx/) a lot more interesting than the above. :-) He is an MBS specialist, read his bio. So far the MOVE was pretty high in the last month, but BND is up very nicely. Let's see the next several weeks. Attachments:
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Post by johnsmith on May 4, 2023 13:01:00 GMT
Move Index ended yesterday at 134, it had fallen below 120 for a few days, I think.
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Post by FD1000 on May 4, 2023 18:08:11 GMT
If the Move was a good indicator, bonds should be demolished by now or at least do very bad in the last several months.
In mid March it was over 180. Since then, bond funds are up. YTD, many bond funds are up over 4%.
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Post by steadyeddy on May 4, 2023 19:13:37 GMT
If the Move was a good indicator, bonds should be demolished by now or at least do very bad in the last several months. In mid March it was over 180. Since then, bond funds are up. YTD, many bond funds are up over 4%. , MOVE index is just an indicator of 1-month volatility. Just like VIX I don't think MOVE predicts whether stocks or bonds are going to be up or down over a span of months. |
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Post by Fearchar on May 4, 2023 19:23:48 GMT
If the Move was a good indicator, bonds should be demolished by now or at least do very bad in the last several months. In mid March it was over 180. Since then, bond funds are up. YTD, many bond funds are up over 4%. , MOVE index is just an indicator of 1-month volatility. Just like VIX I don't think MOVE predicts whether stocks or bonds are going to be up or down over a span of months. I Agee. The MOVE index looks backward. There may Be a small momentum component to it, but probably not worth trading on. The Bond market corrected in March due to the banking crisis. We are not completely be out of the woods. But that though will largely a function of how long it takes the Fed to cut rates enough to be in line with the Market. |
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Post by FD1000 on May 4, 2023 20:16:14 GMT
I disagree. My comment about MOVE was for the last several weeks but also several months leading to its very high number.
I have watched VIX,Move for years. When VIX is high, stocks have relatively high volatility. When VIX is over 40-50 or the speed of rising is fast correlation gets higher. This is why I follow and use it.
A good indicator must reflect the situation quickly, otherwise its useless. Just my opinion and what I use.
I'm now deleting MOVE from my list just as I stopped using SKEW.
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Post by johnsmith on May 5, 2023 0:16:10 GMT
When I look at the MOVE - it just tells me the state of the market.
High MOVE means, if I'm buying, I'd probably set limit orders further away from the market, because I know with higher volatility, it's more likely I'd get my low ball bid.
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Post by steadyeddy on May 5, 2023 3:01:21 GMT
When I look at the MOVE - it just tells me the state of the market. High MOVE means, if I'm buying, I'd probably set limit orders further away from the market, because I know with higher volatility, it's more likely I'd get my low ball bid. , Agree 100%. MOVE does not predict likely capital gains/losses in the next period of time. |
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Post by FD1000 on May 5, 2023 6:42:19 GMT
When I look at the MOVE - it just tells me the state of the market. High MOVE means, if I'm buying, I'd probably set limit orders further away from the market, because I know with higher volatility, it's more likely I'd get my low ball bid. Bonds lost much more last year and the Move was lower than 180. I never bought single bond so I don't use limits. As a bond funds trader I'm looking for 2 things: when to trade and how long to stay. I sold all my bonds very early in 2022 and traded twice only for days because of high risk/SD. I posted that markets look much better in 11/2022, the Move didn't help me at all with that. |
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Post by yogibearbull on May 6, 2023 10:57:37 GMT
MOVE is blended volatility for Treasuries, just like VIX (the newest is VIX1D) is for SP500 stocks.
Within their ranges, MOVE is relatively more elevated than VIX. In fact, this has been a puzzle.
These volatility indexes indicate the current levels of investor anxiety. One should account for their high or low levels, but their values matter only if one trades volatility directly.
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