Formula & Calculation Mechanism
Yield-weighted 1-month implied volatility of OTC options on 2Y, 5Y, 10Y, and 30Y Treasury futures
High MOVE values (>130) reflect acute Treasury illiquidity and bond market turmoil, which spills over into equity selloffs.
Market Impact on US Equities & S&P 500
Orderly decline in MOVE (<90) creates a stable backdrop for both corporate credit and stock market rallies.
Historical Precedents & Bull/Bear Regimes
Spiked to 198 during March 2023 SVB banking crisis as Treasury yields experienced historic daily swings.