// definition
MOVE
Merrill Lynch Option Volatility Estimate
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Short definition
The implied-volatility index of the US government bond market, the bond equivalent of the equity VIX. Quoted in basis points; below 80, a calm market, above 120, strain. A high MOVE signals rate stress and serves as a proxy for the term premium.
risk atlas
Knowledge map
Intuition
The MOVE prices uncertainty about rates. It works as a bond-turbulence detector, especially when auctions, duration and repo funding tighten together.
Why it matters now
A high MOVE makes hedging more expensive, complicates market making and can destabilise carry strategies.
Related analyses
- The return of the term premiumDecomposing the long rate and the US debt regime.
- The Treasury basis tradeLeverage, repo and bond-market fragility.
- Repo, the liquidity factoryFunding chains that transmit a rate shock.
Related guides
- Reading the Treasuries marketCurve, auctions, holders and the term premium.
- Reading TIC dataForeign holdings and the custody bias.
Related datasets
- risk.jsonPublic snapshot of the risk signals.
- debt-risk.jsonDebt Risk Radar snapshot with provenance.
- risk-diff.json1, 7 and 30-day diff of signals, sources and models.
- signals/history.jsonPoint-in-time history of the signals.
Signals using it
- MethodologyDebt, interest burden, current stress and structural vulnerability.
- Risk DiffRecent change in risk and source freshness.
- Black Box RecorderHashed frames to replay a point-in-time state.
Primary sources
- Federal Reserve & FREDRates, the Fed balance sheet, FRED series and the New York Fed ACM model.
- U.S. Treasury Fiscal DataDebt, Treasury cash, DTS and auctions.
- U.S. Treasury TICCross-border holdings and flows of Treasuries.
- Congress.gov, GovInfo & CBOBudget projections, texts and estimates.
- Bank for International SettlementsGlobal debt, banks and market fragilities.