Chart of the Day – August 7, 2020

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 –

CW

Source: Bloomberg & Wennco LLC