Finance24 September, 20262 min read
MOVE Index Jumps From 80 To 104 As U.S. Treasury Volatility Surges
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MOVE index rose to 104, highest since March, as energy prices and yields drive concerns. Bitcoin VIX and BVIV, along with S&P 500 volatility, stay near yearly lows.
MOVE jumps, calm elsewhere
The MOVE index, which measures expected volatility in the U.S. Treasury market, climbed from around 80 on Tuesday to 104 on Thursday, its highest level since March when it hit 199.
CoinDesk data cited by Bitget showed the MOVE index jumped from roughly 80 earlier in the week to 104, even as volatility readings for bitcoin and the S&P 500 sat close to their lowest points of the year.
Volmex’s annualized 30-day bitcoin implied volatility index, BVIV, remained subdued at around 37, close to its year-to-date low of 35.
The Cboe VIX hovered close to its year-to-date low of 14, leaving bitcoin and Wall Street volatility near calm while Treasury volatility surged.
The 20-day correlation between MOVE and VIX turned slightly negative at -0.06 for the first time since April 2024, signaling that bond volatility had not spread to equity markets.
Correlation flips, risk pricing
CoinDesk said the 20-day correlation between MOVE and VIX has turned slightly negative for the first time since April 2024, with the reading at -0.06.
Bitget said the correlation between BVIV and MOVE is more sharply negative at -0.37, one of the lowest readings in years.
The divergence left bond traders paying considerably more for protection against swings in interest rates, while bitcoin’s expected volatility stayed near its yearly low.
The Cboe VIX, which tracks expected volatility in the S&P 500, remained hovering close to its year-to-date low of 14, and the divergence pointed to underlying strength in bitcoin and stocks.
The U.S. 10-year Treasury yield briefly hit 5.2% before easing to 5.163%, as rising energy prices and bond yields added to inflation concerns.
Energy, inflation, policy
The report tied the bond-volatility surge to rising energy prices and bond yields, saying the war in the Middle East has driven oil and diesel prices higher and complicated the inflation outlook. CoinDesk said the divergence came as government bond yields climb globally, and it linked higher Treasury volatility to tighter financial conditions and disincentivized risk-taking in financial markets. Bolsamania said the MOVE index rose 17% on Wednesday to 95.45 points and had not reached that level since late March.
Bolsamania added that investors were reassessing the risk that inflation stays elevated, debt issuance increases, and the Federal Reserve will need to approve further rate hikes. The same analysis framed the MOVE as a measure of expected volatility in U.S. government debt, computed from options prices, and it said a higher reading indicates uncertainty about what could happen next has increased.