Merrill Lynch Option Volatility Estimate
The Move Index is a volatility index developed by Merrill Lynch that reflects the implied volatility for U.S. government bonds with different maturities. Thus, it is the counterpart to the CBOE Volatility Index, which reflects the implied volatility for the U.S. equity market for the next 30 days. The Move Index is seen as the VIX for bonds, as it can provide signals of changing risk sentiment in fixed income markets. The Move Index is considered a recognized benchmark of future U.S. government bond interest rate volatility and is used primarily as an early warning signal or indicator to perceive changing risk sentiment in U.S. government bond markets. The Move Index is calculated using 30-day over-the-counter options on U.S. government bonds with maturities of 2, 5, 10 and 30 years.