Search Results for: MOVE

Volatility and Number of 3-Sigma Moves This year has seen more extreme cross-asset moves than any year since 1998. Image: Morgan Stanley Research

S&P 500 Moves Around Bear Market Bottoms Since 1870 If the March lows is the bottom, then the S&P 500 is well ahead of history in terms of market recovery. Image: Societe Generale Cross Asset Research

Central Bank Rate Movements in 31 Countries Central bank rate movements in 31 countries haven’t been this much since the Great Financial Crisis. Image: Deutsche Bank Global Research

Volatility Divergence – VIX vs. MOVE When MOVE is below the 50th percentile and VIX is above the 80th percentile, the average annualized S&P 500 price performance has been close to +21% compared to just over +7% the rest of the time. Image: Bloomberg

S&P 500 Average Daily Percentage Move: 1928-2020 The volatility has been unusual over the last five weeks, as the S&P 500’s average absolute daily percentage change has been +/-4.8%. Image: Bespoke Investment Group

Peak to Trough Equity Move Around Past Recessions Historically, the average move in the S&P 500 from peak to trough around past recessions is -32%. Image: J.P. Morgan

Volatility – Number of Days with >3% S&P 500 Moves over a 15 Trading Day Window The S&P 500’s volatility is similar to the Great Financial Crisis and the Great Depression. Image: Deutsche Bank Asset Allocation

S&P 500 Post-Crisis Movement This chart compares the coronavirus impact on U.S. equities with past shocks. The impact looks more like the Lehman Brothers collapse. Image: The Conference Board

Coronavirus – Equity Market Moves and Past Virus Outbreaks The chart shows past virus outbreaks, highlighting the S&P 500, Stoxx 600, Hang Seng and MSCI World. Image: Nordea and Macrobond

Correlation Between VIX and MOVE The rolling one-year correlation between VIX and MOVE is at the highest level on record. Image: Arbor Research & Trading LLC