Bond Volatility MOVE

yogibearbull

Bond volatility MOVE is now the highest since the GFC (2008-09). It is blend of Treasury volatilities of various maturities. Bond market has been whipsawed in the recent days by Powell's testimony last week (tough) and global banking crisis led by the US (not Europe) - 3 US bank failures in 4 days, needing a bank rescue plan (QE for banking? May be, QL - quantitative-lending?).
https://finance.yahoo.com/quote/^MOVE?p=^MOVE

catch22

MOVE chart at Google Finance starting Oct. 2019

I've followed MOVE for some time and still don't find or know what it shows for me to be of use. I understand the index is a bond reference, not unlike VIX for equity volatility. Probably just me to find meaning vs watching bond yields and/or flows, and of course; everything the FED has done/is doing and bond markets reactions from the big players. And for me, I already have too many sticks in the fire that I watch; aside from whatever is being discussed by whomever.
As you've noted....If I could readily chart MOVE against something I could us; I may discover something.

MikeM

If volatility is measured by standard deviation, this metric is just saying there is greater dispersion around the mean. It doesn't tell whether there is a trend up or down or if there is just a lot of chaos around an unchanging average.

yogibearbull

@catch22, MOVE is not only a blend but it is normalized, so it doesn't have a direct meaning as VIX.

But we can look at past values and ranges.

All-time high 264.60 (GFC, 2008), all-time low 36.62 (Covid, 2020).

Covid 2020 range 36.62-163.70.

Now 198.71 (3/15/23 EOD). So, well above its high during the credit-freeze of early-2020.

catch22

@YBB and @MikeM Thank you for your added comments.

yogibearbull

@MikeM, bond volatility indexes are not SD-based. But the info may be similar to short-period-SDs, BBW(20,2), etc.

Even the VIX-like stock indexes are not directly SD-based, but options-based.

Junkster

What surprises me is how well the risk on sectors of the bond market - junk corporates, junk munis, and bank loans - have reacted to the banking chaos. They are still positive YTD albeit barely. At their nadir in 08/09/ they were all down around 30%. For that matter I am surprised at how well the major equity indexes have held, especially the Nadaq 100. I believe social media has magnified the bank panic. When all is said and done the equity indexes could surprise to the upside. Then again, my predictive abilities are as lacking as anyone’s.

yogibearbull

I was tempted to bottom fish in regional bank KRE. BUT its Covid 2020 low is STILL -44% down from here, and there is hardly any support between here and there. So, just watching for now.

hank

“I believe social media has magnified the bank panic.”

Both social and mainstream media have had a field day. “It sells in Peoria” (increases ratings).

There are no lines in front of banks. But there’s a lot of itchy fingers on keyboards moving money around. That modern day ability changes the instantaneity & speed of old fashioned “bank runs.”

I’d been using GNMA as a cash substitute. Sold all today. The 10 year was over 4% about 1 week ago. Dropped below 3.5% (around 3.4% at one point) this morning. Hard to say what’s coming down the pipe - but a guess is they’ll find a way to patch up the shaky banking system both here and in Europe - adding liquidity in one way or another - and that inflation will be well above 2% a year from now. Bonds might do well in that environment, but I wouldn’t bank on it. There’s probably good money to be made on some of the regional banks - but not for me.

To be clear - I still own a high-yield muni and a global bond fund.