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Bond Volatility MOVE

yogibearbullyogibearbull
edited May 2022 in Other Investing
Treasury yield volatility index MOVE is now available at Yahoo Finance (^MOVE) and FT (MOVE:PSE); it is not yet available at Stockcharts. It indicates blended Treasury yield volatility derived from Treasury price volatilities that are determined from one-month options on 2-year, 5-year, 10-year and 30-year Treasuries. Think of it as bond “VIX”. For more details, see
https://ybbpersonalfinance.proboards.com/thread/17/vix-skew-move?page=1&scrollTo=632

Comments

  • Derf
    edited May 2022
    @yogibearbull : Good morning YBB. ? Does each bond have its own VIX or are they all put in the pot to come up with an average VIX ?
    Thank you, Derf
    Added - After looking at your link it appears to be an average VIXof all ? Wouldn't it be of more value to have a VIX of each period , 2yr -5yr- 10 & 30 yrs ?
  • yogibearbullyogibearbull
    Unfortunately, MOVE blends various Treasuries in a "pot'. It would be better if there were targeted MOVEs, say, MOVE-10 for the most popular/important 10-yr, etc. But the "free" MOVE is a blend & EOD (not real-time). I don't know what refinements exist (beyond real-time) for the subscription product - may be someone will post on those.
  • yogibearbullyogibearbull
    Bond volatility ^MOVE (153.61) is now quite high. This may be a warning of some credit-event or financial storm - in the US or globally.

    On the other hand, high ^VIX (32.26) and low/reasonable ^SKEW (120.01) is an interesting setup that is more likely near the stock market lows. As noted in a nearby thread, a multiday (3+) low-testing is ongoing.

    https://finance.yahoo.com/quotes/^MOVE,^VIX,^SKEW/view/v1

    For general info, https://ybbpersonalfinance.proboards.com/thread/17/vix-skew-move
  • Sven
    Thank you.
  • yogibearbullyogibearbull
    edited September 2022
    9/27/22
    Bond/Treasuries ^MOVE 158.12 (high)
    SP500 ^VIX 32.60 (high)
    SP500 ^SKEW 120.39 (not high)
  • yogibearbullyogibearbull
    9/28/22
    Bond/Treasury ^MOVE 158.99, up on a historic day when the BOE intervened with QE to support the UK bonds and pound (a dramatic reversal to the QT announced just past Friday).
    SP500 ^VIX 30.18, down but high
    SP500 ^SKEW 120.38, flat and OK
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