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Merrill Option Volatility Estimate Indices

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Merrill’s OTC options desk, in conjunction with Govt/FF&O Research, has developed the Merrill Option Volatility Expectations Index (MOVE©) to reflect a market estimate of future Treasury bond yield volatility. The MOVE index is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of volatilities on the CT2, CT5, CT10, and CT30, weighted in the following manner: 20% 2-Yr, 20% 5-Yr, 40% 10-Yr and 20% 30-Yr. The allocations are based on estimates for OTC volume in each sector.

The MOVE Index reports the average implied volatility across a wide range of outstanding options on the two-year, five-year, 10-year, and 30-year U.S. Treasury securities (with a total weight of 40 percent on the 10-year Treasury and total weights of 20 percent each on the other maturities). Note that the options underlying the MOVE Index have expiration dates of approximately one month; thus, the MOVE Index measures the implied volatility of long-term yields over a relatively short horizon. Such short-term uncertainty about long-maturity yields may be related but is not the same as uncertainty about the path of short-term interest rates in the distant future.

Key Features and Coverage on RIMES

The MOVE module contains historical data starting from 2009-01-12. The data options are based on on U.S. Treasuries and the SMOVE data is based upon similar Swaps, including:

  • MOVE 1M, 3M, 6M
  • SWAPS MOVE 1M, 3M, 6M

Some of the data items available include:

  • Daily volatility index level
  • Index level change

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