The MOVE Index, which is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options, is always important to observe. Beginning when global equity markets starting to drop in late-Feb and into most of March, the MOVE Index spiked, as Treasury vol spiked. This index went from the mid-50’s to over 160, which was nearly unprecedented (in 2007-2009 the MOVE Index hit higher levels than 160).
Today, the MOVE Index is around 42. Equity markets (and most markets) are applauding this low-level. Watch this index for possible clues into rising, global, cross-asset volatility if the MOVE starts moving.
Have a great weekend –
Source: Bloomberg & Wennco LLC
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