What is the MOVE Index?

By EC Assets Research Team · Published 15 May 2026 · Updated 15 October 2026

MOVE Index: The MOVE index is the bond market's VIX: a yield-curve-weighted measure of one-month implied volatility on US Treasury options. A MOVE of 100 translates to roughly 6 basis points of expected daily yield movement, and it is the reference gauge for rates uncertainty around Fed decisions and inflation prints.

What the MOVE Index Actually Measures

The MOVE index condenses the implied volatility of US interest rates into a single number. Its name stands for Merrill Lynch Option Volatility Estimate: Harley Bassman created it at Merrill Lynch in the 1990s, and Intercontinental Exchange acquired it from Bank of America in 2019. It is often described as the bond market's VIX.

The comparison is useful but the units differ. The VIX expresses equity volatility in percent of the index level. The MOVE expresses rates volatility in basis points of yield per year, a normal or basis-point volatility. That is the unit rates desks hedge and budget in: a reading of 100 says the market is pricing a one-standard-deviation move in yields of about 100 basis points over a year.

How It Works

The index takes one-month at-the-money over-the-counter options at four points of the US yield curve, converts each option's implied volatility into basis points of yield and combines them with fixed weights:

$$\text{MOVE} = 0.20,\sigma_{2Y} + 0.20,\sigma_{5Y} + 0.40,\sigma_{10Y} + 0.20,\sigma_{30Y}$$

Weights as commonly published for the index; the double weight makes it most sensitive to the 10-year point.

Because the index is annualised, the same square-root-of-time scaling used for the VIX converts it to shorter horizons: divide by √252, or roughly 16 under the Rule of 16, for a day and by √12 for a month. The VIX-to-move converter applies the same arithmetic to any annualised figure. A basis-point volatility can also be compared with a percentage one by dividing by the yield level: 100 basis points at a 4 percent yield is roughly 25 percent volatility of the yield itself.

Worked Example

The MOVE index stands at 100. The one-standard-deviation yield move is 100 / √252 ≈ 6.30 basis points per day (6.25 by the Rule of 16) and 100 / √12 ≈ 28.87 basis points per month.

A bond portfolio of 100 million with a modified duration of 8 loses about 8 × 28.87 basis points ≈ 2.31 percent, or 2.31 million, on a one-standard-deviation monthly rise in yields. The table repeats the calculation at other levels:

Daily uses √252, monthly √12; losses ignore convexity, which matters little for moves of this size.

The same arithmetic run backwards sizes duration. With a budget of 1.5 million for a one-standard-deviation monthly loss on 100 million, the permissible duration is 1.5 / (100 × 0.2887%) ≈ 5.2 years at a MOVE of 100, and half that, about 2.6 years, if the index doubles to 200.

When It Applies (and Limitations)

It covers one month only. The index says nothing about the term structure of rates volatility. For longer horizons the reference is the swaption volatility matrix, which spans option expiries from months to decades.

It is dollar-specific. It does not cover other government bond markets, credit spreads or inflation-linked bonds. Investors with euro or sterling rate exposure need the corresponding swaption volatilities, which no single index summarises in the same way.

Its inputs are over-the-counter quotes. Unlike the VIX, which is computed from a published strip of exchange-listed options, the MOVE relies on dealer-quoted options, so its construction is less transparent to outside users.

It embeds a risk premium. Like any implied volatility it is a risk-neutral price. Choi, Mueller and Vedolin (2017) document a variance risk premium in Treasury markets, so the index on average overstates the volatility that follows.

The 10-year can dominate. With 40 percent of the weight on one point, a move concentrated in the 10-year can lift the index while other parts of the curve stay calm.

Why It Matters for Institutional Investors

Duration budgeting. As the worked example shows, the index converts directly into a money figure for a bond portfolio. Risk limits set in terms of volatility shrink the permissible duration automatically when the MOVE rises.

Cross-asset stress signal. Rates volatility has repeatedly risen before or alongside equity volatility at turning points. In March 2023 the MOVE climbed to about 199 as the failure of Silicon Valley Bank forced a repricing of policy expectations, and it moved several days ahead of the VIX.

Funding conditions. Treasuries are the main collateral of the financial system. Higher rates volatility raises haircuts and margin requirements and can tighten repo financing, so a sustained rise in the MOVE often signals tightening financial conditions well beyond the bond market.

Strategy context. Strategies that sell rates volatility, such as short swaption or delta-hedged straddle programmes, are judged against the gap between the index and the volatility subsequently realised, the rates counterpart of the equity volatility risk premium.

References

1. Intercontinental Exchange. (2019). Intercontinental Exchange Announces Agreement to Acquire the Merrill Lynch Option Volatility Estimate (MOVE) Index from Bank of America Merrill Lynch. Press release.
2. Choi, H., Mueller, P., & Vedolin, A. (2017). Bond Variance Risk Premiums. Review of Finance, 21(3), 987-1022.
3. SIFMA. (2023). SIFMA Insights Spotlight: March 2023 Market Metrics. SIFMA.
4. Hull, J. C. (2022). Options, Futures, and Other Derivatives (11th ed.). Pearson.