MOVE Index
a.k.a. ICE BofA MOVE Index
A gauge of how wildly traders expect US Treasury yields to swing, often called the "VIX of bonds".
In plain English
A gauge of how wildly traders expect US Treasury yields to swing, often called the "VIX of bonds".
The MOVE Index measures fear in the US government bond market. It is built from the prices of options on Treasuries: when traders pay up for protection, it means they expect yields to lurch, and the index climbs. That is why people call it the bond market's VIX.
Bond yields drive a lot of currency moves, especially the dollar and the yen. When the MOVE spikes, it often signals stress across markets, and forex volatility usually is not far behind.
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