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MOVE 1y percentile

What it is

MOVE 1y percentile — registry key move_pct_1y.

MOVE Index trailing ~1-year percentile rank (0-100), computed at capture time from the trailing daily_signals.move history. Pure rate-vol MAGNITUDE carrier for the drawdown-risk / state-description lane — ‘is bond vol cheap or expensive vs its own last year?’. No bands, no health-score contribution; the raw MOVE level (move) keeps its own banded carry_risk role. Mirrors wti_percentile_1y’s trailing-window classification (shared _trailing_percentile_1y core).

Data-pyramid tier

T1 — Signal. This metric sits at the signal layer of the platform’s six-tier data pyramid (T0 raw inputs → T5 actionable read). The tier reflects how far the value is from a raw measurement — not how strongly it is validated. Abstraction and validation are separate axes: a higher tier is not a claim of stronger evidence.

Horizon & validation

No validated skill horizon is on file for this metric — read it as context / a data carrier, not a validated edge. Stamps are added only when a gated research verdict lands.

Source

Source module: capture
Data source: computed

Derived metric — produced inside the platform (app/signals/capture.py or equivalent) rather than fetched as a raw upstream value. See the How it's computed section below for the formula.

How it’s computed

Percentile rank (0-100, midrank) of today’s MOVE close against the trailing ~252-row daily_signals.move history (exclusive of today). Computed at capture in app/signals/capture.py:_inject_move_percentile (and mirrored at the API edge by app/signals/routes.py:_inject_move_percentile) via app/signals/implications.py:compute_move_percentile_1y, which wraps the shared _trailing_percentile_1y core that wti_percentile_1y also uses. NULL when the trailing window carries fewer than 30 usable points (series start).

Where it surfaces

• API field: volatility.move_pct_1y on GET /api/v1/signals/latest
• Surface: daily_signals row (daily-cadence persistence)

Health-score / alignment role

Data carrier — no implication, no health-score contribution.

Persisted for downstream consumers (sparklines, base-rate matcher, calibration substrate) but does not classify into BULLISH / NEUTRAL / BEARISH and does not contribute to the 0-100 health score.

Release cadence

• Publishes: intraday

See also

• /kb/api/get-signals-latest — API endpoint that serves this field.