MOVE Index
The MOVE Index (Merrill Lynch Option Volatility Estimate) is a measure of implied volatility in U.S. Treasury bond markets derived from options on one-month Treasuries across maturities, serving as the bond market's equivalent of the VIX and historically used to gauge stress and uncertainty in fixed income markets.
While the CBOE VIX captures implied volatility in equity markets, the MOVE Index performs an analogous function for the U.S. Treasury market — the largest and most liquid fixed income market in the world. The index was originally developed by Merrill Lynch and is now maintained by ICE Data Indices. It aggregates implied volatility across U.S. Treasury options spanning a range of maturities, weighted to reflect the overall level of uncertainty being priced into government bond markets.
The MOVE Index is calculated using the prices of one-month Treasury options across maturities of 2 years, 5 years, 10 years, and 30 years. Higher MOVE readings indicate that options markets were pricing in greater uncertainty about future Treasury yields and prices, while lower readings indicated calmer conditions in the world's benchmark fixed income market. The index is expressed as an annualized basis-point measure of Treasury yield volatility.
Historically, the MOVE Index has spiked during periods of significant macroeconomic uncertainty or Federal Reserve policy transitions. Among its most notable historical peaks were during the 2008 Global Financial Crisis, when bond markets experienced unprecedented volatility as investors fled to the safety of Treasuries while simultaneously facing uncertainty about the Federal Reserve's emergency policy responses. The index also reached elevated levels during the 2020 COVID-19 market dislocation and during the aggressive Federal Reserve rate hiking cycle that began in 2022, when rapidly changing expectations about the path of interest rates drove sharp and frequent swings in Treasury yields across the maturity spectrum.
The MOVE Index is closely watched by fixed income strategists, credit analysts, and equity market participants alike, because Treasury market volatility tends to transmit to other asset classes. When bond yields are swinging violently — reflecting deep uncertainty about the future path of interest rates and inflation — this historically creates turbulence in equity valuations, credit spreads, mortgage rates, and virtually every other rate-sensitive asset.
A high MOVE Index relative to a low VIX has sometimes been described as an unusual condition, since bond market stress often eventually spills over into equity market volatility. Conversely, periods when both the MOVE Index and the VIX are subdued simultaneously have historically been associated with calm, low-volatility market environments. The divergence between these two measures can provide insights into whether cross-asset market conditions are internally consistent or showing early signs of stress in one market that has not yet been reflected in another.
For investors and analysts focused on macro risk assessment, the MOVE Index has historically been one of the most important barometers of systemic stress in the U.S. financial system, given the central role of Treasury markets as the foundation of global dollar-denominated finance.