Move Index—Bond Market Volatility

Many of us are familiar with the VIX Index, commonly referred to as the “Fear Index”. 

The VIX Index is a measure of “fear” as that relates to equity markets and typically rises during periods of falling prices, sometimes sharply during more precipitous declines.

 

Move Index

Did you know that there is a similar index that measures fear within the bond market? That index was developed by Merrill Lynch and is referred to as the MOVE Index.^[2]

The index rises as concerns grow that interest rates are on the march higher. The index will rise more sharply when there are fears in the market that rates may be headed significantly higher as was the case during the 2013 Taper Tantrum.

As shown in Figure 1, the current Move index is at a very high level, which has already surpassed Corona panic highs. 

Figure 1.  MOVE Index (07/02/2006 - 07/02/2022)

Time to Invest in Bonds?

When interest rates are marching higher, is it a time to invest in bonds? Based on Tatiana Darie, her answer is:

Investing in bonds hasn't always been the winning strategy even as yields surge on central bank tightening. Only if you think we're headed for a downturn soon.

 

References

1.  VIX (Wikipedia)
2. The Move Index