VIX vs MOVE Index
VIX (CBOE Volatility Index) measures S&P 500 30-day implied volatility in percentage terms. MOVE (ICE BofA US Bond Market Option Volatility Estimate, created 1998 by Merrill Lynch, now ICE) measures Treasury options implied volatility across 2Y, 5Y, 10Y, 30Y tenors at 1-month maturity in annualized basis points.
Also known as: VIX (fear index, volatility index, CBOE VIX) · MOVE Index (MOVE, bond volatility, Treasury vol, ICE BofA MOVE)
Why This Comparison Matters
VIX (CBOE Volatility Index) measures S&P 500 30-day implied volatility in percentage terms. MOVE (ICE BofA US Bond Market Option Volatility Estimate, created 1998 by Merrill Lynch, now ICE) measures Treasury options implied volatility across 2Y, 5Y, 10Y, 30Y tenors at 1-month maturity in annualized basis points. April 2026: VIX 18.76 (down from March 27 peak 31.05); MOVE 66.97 (recently elevated reflecting rates volatility post-Fed pause). The VIX/MOVE ratio of approximately 0.28 is in normal range. Bond volatility tends to lead equity volatility because bonds determine the discount rate used to value all assets. The March 2023 banking crisis (SVB) saw MOVE Index climb several days before corresponding moves in VIX, demonstrating the lead-lag relationship.
The April 2026 Configuration
VIX closes April 24, 2026 at 18.76 (down from peak 31.05 on March 27, 2026). MOVE Index at 66.97 (current data). VIX/MOVE ratio approximately 0.28 (within normal range 0.20-0.40). MOVE/VIX ratio approximately 3.57 (within normal 3-5 range).
VIX peak 31.05 March 27 2026 reflected Iran war initial shock. MOVE behavior during the same period: elevated above 70 levels reflecting Treasury market stress from oil price impact on inflation expectations and Fed policy uncertainty. Both have moderated as Iran ceasefire stabilized.
The combined April 2026 reading: cross-asset volatility moderating from March peaks. VIX in upper end of normal range (16-22 typical). MOVE elevated relative to historical averages (60-90 typical, but elevated since 2022 hiking cycle, currently 66.97 in mid-range). The configuration suggests Treasury market continuing to price meaningful policy uncertainty while equity market has stabilized faster than rates market. Lead-lag pattern would suggest equity stability is reliable until/unless MOVE re-accelerates.
How VIX and MOVE Diverge
VIX and MOVE measure volatility in different asset classes with distinct drivers. VIX is dominated by equity-specific factors: earnings expectations, multiple expansion, mega-cap concentration risk, single-name shocks. MOVE is dominated by macro/rates factors: Fed policy expectations, inflation surprises, fiscal trajectory, term premium dynamics.
The practical implication: VIX and MOVE diverge during specific stress regimes. Macro/rates-led stress (high MOVE, low VIX): Fed surprises, inflation shocks, banking system funding stress (March 2023 SVB), debt ceiling drama, fiscal trajectory concerns. Equity-led stress (high VIX, low MOVE): earnings disappointments, single-name implosions, sector rotation, AI capex concerns. Combined stress (high both): recessions, financial crises, policy regime breaks.
Correlation between VIX and MOVE: long-run correlation approximately 0.55-0.75 (positive but moderate). During pure rates stress correlation drops to 0.20-0.40 as MOVE moves while VIX stays subdued. During pure equity stress correlation drops similarly as VIX moves while MOVE stays calm. During global crisis correlation rises to 0.85+ (both elevated).
MOVE Methodology and Calibration
Conditional Forward Response (Tail Events)
How MOVE Index has historically behaved in the 5 sessions following a top-decile or bottom-decile daily move in VIX. Computed from 1,213 aligned daily observations ending .
Following these triggers, MOVE Index rises 0.91% on average over the next 5 sessions, versus an unconditional baseline of +0.55%. 121 qualifying events; MOVE Index closed positive in 47% of them.
90-Day Statistics
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Frequently Asked Questions
What are VIX and MOVE?+
VIX (CBOE Volatility Index) measures S&P 500 30-day implied volatility in percentage terms (annualized). MOVE Index (ICE BofA US Bond Market Option Volatility Estimate, created 1998 by Merrill Lynch, now ICE) measures Treasury options implied volatility across 2Y, 5Y, 10Y, 30Y tenors at 1-month maturity in annualized basis points. April 2026: VIX 18.76 (off March 27 peak 31.05); MOVE 66.97 (current). MOVE weighting: 0.2 (2Y), 0.2 (5Y), 0.4 (10Y), 0.2 (30Y). 10Y highest weight reflects policy-sensitive belly of curve. VIX/MOVE ratio 0.28 within normal 0.20-0.40 range.
Why does MOVE lead VIX?+
Bonds determine the discount rate used to value all assets. When MOVE rises, bond yields are uncertain, propagating to equity valuations through changing discount rates with a lag. March 2023 banking crisis: MOVE began climbing several days before VIX. SVB collapse March 10 2023; MOVE spiked 100+ in week prior; VIX rose only after weekend. February 2022 Russia: MOVE elevated weeks before VIX. December 2018 Fed pivot: MOVE elevated 100+ weeks; VIX rose with 1-2 week lag. Practical: monitoring MOVE provides early warning for VIX moves with typical lead 1-7 days. Allocators use MOVE for risk-parity rebalancing, vol-targeted strategy adjustments, pre-emptive equity hedging.
How does the MOVE Index work?+
MOVE = weighted average of basis-point implied volatilities of 2-year, 5-year, 10-year, 30-year Treasury options at 1-month maturity. Weighting 0.2/0.2/0.4/0.2. Units: annualized basis points. Historical ranges: pre-2022 50-90bp typical, extreme spikes 170+ during 2008 GFC; 2022-2023 hiking cycle 100-180bp (extreme regime); 2024-2026 60-100bp (post-hiking moderation). Current 66.97 lower-middle of post-2022 range. VIX in annualized percent (e.g., 18.76% annualized = 1.18% daily). Different units make direct comparison non-trivial; practitioners normalize via VIX/MOVE ratio (same scale).
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