Published Thu, 21 Mar 2019 10:14:25 -0400 on Seeking Alpha
Has US Bond Volatility Died?
It certainly seems as if US bond volatility is dying.
March 19th marked the lowest close for the MOVE index - that's the bond market's equivalent of the VIX Index (VXXB, TVIX, UVXY, VXX, VXXB, VIXM, VIXX, VIXY) - since it began being tracked, back in 1988.
Source: Author friend's mobile phone
If so, this is certainly not being reflected when it comes to energy (XLE*, IYE, XOP, IXC, VDE, OIH) bonds (AGG, BND).
*Energy Select Sector SPDR ETF (XLE)
There are still some serious potholes in debt of US oil (OIL**, USO***, DBO) and gas (UNG, UGAZ) companies.
**Path S&P Crude Oil Total Return Index ETN (OIL)
***The United States Oil ETF, LP (USO)
Take EP Energy (EPE) as an example.
The company's bonds lost 40 cents (on the dollar) over the past two days after it reported a meaningful operating loss on asset write-downs and lower Q1 production.
EPE is certainly not alone in here.
Bond Spreads: Energy vs. the Overall Market
As a matter of fact, investors are now demanding the greatest premium to own HY energy debt relative to the broader junk-bond (HYG, JNK, BKLN, SJNK, SRLN, SHYG) market since December 2018.
The below chart shows the change in US Corporate Option-Adjusted Spreads - across all credit ratings - since the beginning of the year. As you can see, spreads are contracting across the board, leading to bonds, high-yield and investment-grade alike, gladly participating in the... Read more
|Stock name||Last trade||P/E||Earnings/Share||Dividend/Share||Dividend yield|
|SPDR BARCLAYS CAPITAL HIGH YIELD BOND ETF||108.94||0.0||0.00||6.07||5.58|
|ISHARES JPMORGAN USD EMERGING MARKETS BOND FUND||113.92||0.0||0.00||6.17||5.43|
|ISHARES IBOXX $ HIGH YIELD CORPORATE BOND FUND||87.32||0.0||0.00||4.60||5.27|
|SPDR DOW JONES INDUSTRIAL AVERAGE ETF TRUST||272.32||0.0||0.00||5.67||2.10|
|ISHARES BARCLAYS TIPS BOND FUND||115.82||0.0||0.00||2.15||1.85|
|SPDR S&P 500 ETF||301.29||0.0||0.00||5.42||1.82|
|POWERSHARES QQQ TRUST SERIES 1||193.23||0.0||0.00||1.49||0.78|
|ISHARES BARCLAYS AGGREGATE BOND FUND|
|VANGUARD TOTAL BOND MARKET ETF|
|VANGUARD SHORT-TERM BOND ETF|
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