NewsMV
Treasury yield moves over the past couple of months have pulled the CBOE Volatility Index ($VIX) and the Merrill Lynch Option Volatility Estimate (MOVE) back into sharper focus, with hedging activity into both gauges picking up as the calendar enters a historically volatile stretch.
Protection buyers showing up around vol instruments into a seasonally unsettled window are flagging something about positioning that price has not yet said plainly.
MOVE tracks implied volatility across the Treasury market, working as the rate analog to the equity-side VIX.
When both attract a hedging bid at the same time, the demand is cross-market, and that cross-market character tends to carry more weight as a positioning signal than a bid confined to one asset class.
Keep reading