Blog: The MOVE Index is not what it seems - Part 2

On Sept 1, 2022 I posted that the MOVE index is often misinterpreted. Last week's SVB failure makes this discussion relevant and worth continuing.

The MOVE is an implied volatility index of US Treasuries. The index uses options on 2, 5, 10, and 30 year on-the-run US Treasuries. Since the MOVE is an implied volatility index, it’s often interpreted as a VIX for bonds. The relationship between the VIX and the S&P 500 is well documented. The VIX shoots up when S&P 500 prices go down, and vice versa when prices go up. So the interpretation is that when the VIX is rising, risk and uncertainty for the S&P is rising too. I’ve used this VIX/S&P relationship as a risk indicator for many years, and it works. Using this same interpretation for the MOVE mostly works. But at times of crisis, it can get you into trouble.