S&P 500 1-Day Move to CPI The U.S. equity market’s response to CPI data is becoming less pronounced, influenced by shifting investor sentiment about interest rates and overall economic conditions. Image: BofA Global Research
Volatility Divergence – VIX vs. MOVE The divergence between VIX and MOVE presents unique challenges and opportunities for market participants, reflecting different expectations and perceptions of risk in the equity and bond markets. Image: BofA Global Research
Average U.S. 10-Year Treasury Yield Move Before and After the Last Fed Hike in the Cycle Historically, after the last Fed rate hike, U.S. 10-year Treasury yields have tended to trend lower on average. Image: Deutsche Bank
Performance – Percentage Point Difference between S&P 500 and Equal-Weighted S&P 500 Annual Price Moves The outperformance of the S&P 500 vs. the S&P 500 equal-weighted is the biggest since 1998. Image: Deutsche Bank
Volatility – VIX/MOVE Ratio The VIX/MOVE ratio is still falling. Image: The Daily Shot
Average Movements in 2s10s Slope Around U.S. Recessions Historically, when the U.S. 2s10s yield curve has been inverted by more than -100bps, a U.S. recession is currently happening or will happen within 8 months. Is it different this time? Image: Deutsche Bank
Volatility – MOVE Index U.S. Treasury bond market volatility is still elevated, despite some improvement. Image: Morgan Stanley Research
U.S. Treasury Liquidity and MOVE Indices Will U.S. Treasury liquidity continue to deteriorate? Image: BofA Global Research
2-Year Government Bond Yield Moves in Selected Countries Bond traders expect monetary policy to tighten. Image: Deutsche Bank
MOVE Index vs. U.S. 10Y-2Y Yield Curve Should investors expect a steeper yield curve and more fixed-income volatility? Image: Variant Perception Research
Markets – U.S. Rate Moves Over the recent months, U.S. rate moves have generally been “healthy”. Image: BofA Global Research