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The MOVE Index - Please Share your Insight

beebee
edited April 17 in Other Investing
VIX = Stock market price movement.

MOVE = Interest Rate and Bond Price movement.

Some notes from this link article:

- When the MOVE Index spikes, that added volatility premium means risky bonds sometimes get priced lower, boosting yields.

- A Higher MOVE Equals Costlier Mortgages, A More Strained Consumer

- The MOVE Index also has vital implications for the domestic mortgage market. High rate vol makes a typical 30-year mortgage more costly as lenders price-up home loans.
- Historically, the spread between the average 30-year fixed-rate mortgage and the U.S. 10-year Treasury is about 1.9 percentage points. As of Friday, according to Mortgage News Daily and the U.S. Treasury, that difference stood at a massive 2.76%.

- More expensive home loans further strain an already unhappy consumer, potentially damaging future consumption.

The Bottom Line

Keep your eye on the MOVE Index and credit spreads. These are important indicators that might determine where stocks head. If rate volatility and yield spreads ease, that could further support an equity market rally.
move-index-how-bond-market-volatility-can-help-investors-spot-stock-trends

Comments

  • catch22catch22
    Hi bee,
    @yogibearbull uses MOVE among other, for a reference. Perhaps he will provide his thoughts.
  • yogibearbullyogibearbull
    Bond volatility MOVE is fine. My complaints are that it is Treasury blend and I would prefer clean MOVE-10 (for 10-yr Treasuries), etc; and that it is not widely available (so at Yahoo Finance, but not at StockCharts). I include it in my weekly Barron's summaries (Part 1).
    https://ybbpersonalfinance.proboards.com/thread/17/vix-skew-move?page=1&scrollTo=632
  • yogibearbullyogibearbull
    edited April 16
    $MOVE is now recognized by StockCharts, but its history is from 03/2021 only; Yahoo finance has recognized ^MOVE for quite a while and has a longer history.
    https://stockcharts.com/h-sc/ui?s=$MOVE&p=D&yr=1&mn=0&dy=0&id=p92417735568
  • beebee
    edited April 16
    Move is... well...on the move this April!

    From roughly 86 to 121. Is it the "speed and change" of the Move or the "high" of the Move that we should be paying attention to?

    Here's a 3 month comparison chart of MOVE index and the S&P 500 index.

    https://stockcharts.com/h-perf/ui?s=$MOVE&compare=$SPX&id=p34123308929
  • yogibearbullyogibearbull
    Ratio $MOVE:$VIX indicates relative bond (Treasury) & stock (SP500) volatilities. Ratio trend line has been rising (200-dMA 7.76) with wide swings around the trend line. Chart is for 3 yrs.
    https://stockcharts.com/h-sc/ui?s=$MOVE&p=D&yr=1&mn=0&dy=0&id=p92417735568
  • FD1000
    edited April 17
    Unfortunately Move isn't accurate and can't tell you when to get out in a timely manner and why I don't look at it.

    Link
  • yogibearbullyogibearbull
    edited April 17
    FD1000 said:

    Unfortunately Move isn't accurate and can't tell you when to get out in a timely manner and why I don't look at it.

    Link

    Your link provided doesn't even mention MOVE, so it's unclear what you tested and why it "isn't accurate"?
    Every data point doesn't have to provide a simplistic buy/sell strategy.
    Your link for short-term momentum stuff mentions only VIX that is a volatility measure for SP500 (there are several other stock-VIX too), while MOVE is a volatility measure Treasury yields - those have been quite volatile (and then there was 2022). With your bond-heavy approach, maybe you should look at MOVE more.
  • FD1000
    edited April 17
    I checked it years ago and I could not prove it helped me and why I stopped following it, my link includes what have worked for me very well...but...I looked again and now I see that MOVE > 110 has a nice correlation to high volatility in bonds and in most cases typical high-rated bonds don't do well.
    On 3-2-2020 it was at 125 = sell everything = correct. The week before it was already over 110.
    End of 02/2022 it was over 130 = sell and continue to get higher with some lower volatility.
    Also at the end of 2007, it was over 130 and higher in 2008.
    OK, I was wrong.

    (link)
    Key Takeaways
    The bond market tends to signal significant changes ahead of the equity market
    MOVE is 'the VIX for Bonds, by having a history of solid signals regarding the sentiment of the bond market
    MOVE can be used in conjunction with the VIX (explained below) to define general market risk and investor sentiment
  • yogibearbullyogibearbull
    @FD1000 +1
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