S&P 500 Monthly Performance Based on U.S. 10-Year Rates Move Since 1998 Historically, large increases of real rates tend to weigh on equities. Image: Goldman Sachs Global Investment Research
MOVE – U.S. Treasury Volatility Index The U.S. Treasury volatility index fell to a historic trough. Image: BofA Global Investment Strategy
Market-Implied One-Day Move After U.S. Election Day The current expected move after Election Day is 2.8%, down from 3.2% in August. Image: Goldman Sachs Global Investment Research
S&P 500 Stocks – Average Earnings Day Moves Earnings day moves are generally higher in the fourth quarter. Image: Goldman Sachs Global Investment Research
Volatility – Nasdaq 3-Day Sigma Move Is the selloff over for now? Image: BofA Global Research
Seasonality – Average Bp Move in 10-Year U.S. Treasury Bond Yields Will August be a positive month for U.S. Treasury bonds this year? Image: Morgan Stanley Research
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