MOVE Index
The MOVE Index is a well-recognized benchmark for U.S. Treasury market volatility. By its design, MOVE provides strong signals for changing risk sentiment in the fixed income markets. Its unique ability to precisely measure that sentiment allows users to effectively manage their risks.
- Merrill Lynch Option Volatility Estimate (“MOVE”)
- It can be considered as “the VIX for Bonds.”
- It was created by Harley Bassman in the 1990s.
- It tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on 2-year, 5-year, 10-year, and 30-year Treasuries.