Chart of the Day – July 22, 2020

By: Chris Wenner in Charts 07/22/2020

The MOVE Index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options.  This index started to rise right before global equity markets fell on COVID-19, and at its peak spiked over 160.  Today, the MOVE Index has retraced its entire move higher during February and March, and then some.

This index can be telling of all markets; if implied vol on short-dated Treasury options are rising, equity markets might be in trouble.  As mentioned, this index is currently lower than it was before markets fell earlier this year, and isn’t flashing any potential problems in other markets.

CW

 

By: Chris Wenner

Managing Director

Jonathan Molchan

Wennco's innovative strategies and robust OCIO capabilities are designed for RIAs, Family Offices, and high-net-worth individuals.

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