Episode summary
What Does a MOVE of 100 Actually Mean?
Alpha Exchange
· · 7 min
Summary
The discussion explains that the MOVE index is not a stock-style benchmark but a real implied-volatility number for Treasury markets. A guest says a MOVE reading of 100 means the market is implying roughly 100 basis points of annual rate movement, with one standard deviation translating to a 68% range. He also says the index is built from a weighted mix of short-, intermediate-, and long-dated Treasury volatility, with shorter maturities often moving more than longer ones.
The guest argues that a MOVE around 100 is elevated, but not historically extraordinary. He points out that the 1990s averaged about 100, and says today’s level is closer to a return to normal after a long period of unusually low rates and central-bank distortion. In his view, the market has overshot in both directions over time, and current volatility partly reflects that reset.
He also frames MOVE as a practical trading tool: if implied volatility is high enough, traders can decide whether an asset is likely to move more or less than what options are pricing. He cites silver as an example of a situation where implied volatility looked excessive enough to justify selling strangles.
Key takeaways
- A guest says MOVE 100 implies about 100 basis points of annual Treasury-rate movement and roughly a 68% one-standard-deviation range.
- The guest says the MOVE is a weighted blend of twos, fives, tens, and bond volatility, with shorter maturities typically more volatile.
- He argues that a MOVE near 100 is elevated but historically normal, pointing to the 1990s as a period when 100 was average.
- The guest says the current rate regime looks like a reset after years of Fed distortion, not a structural blowout.
- He presents implied volatility, divided by 16 for equities, as a simple way to judge whether options are cheap or rich versus expected movement.
Notable quotes
“A move of 100 means that the market I won't say expects, but it is implying that we will be within 100 basis points up and down”
“One standard deviation is 68% and that's what it means”
“Twos and tens and thirties are different animals”
“My rule of thumb in the 90s was buy 80, sell 120”
“being at 100 right now, it looks like it's up a lot, but it's not”
How the episode opens
I mean, amazing event. What would you just So, first of all, give us just a very quick tutorial on the MOVE index and its calculation. And then I just want you to help contextualize what you see now just across 100. First tell us you know, the the calc and then let's just talk about what information it's telling the market right now.
The VIX and the MOVE they're called an index, but they're not like an index where they're based at 100 on some date and then you look at the price going up and then you measure the total move and then the monthly move or quarterly move. It's not that. It's actually a real number.
It's an implied volatility. So the VIX right now is 16. Easy rule.
Divide the VIX by 16 actually 15.9 and that is the expected daily move of the S&P or of anything you have out there. Just look at the vol, the implied vol of any stock. Vol by 16 at the implied daily move.
That's what the market is pricing in as the volatility the asset. The MOVE similarly is a real number. A move of 100 means that the market I won't say expects, but it is implying that we will be within 100 basis points up and down.
So now we're at like 5 and 1/4 on 10s. We'll be between 4 and 1/4 and 6 and 1/4 68% of the time a year from now. That's one standard deviation.
That's what these numbers all mean. If you took stat in ninth grade you could be a professional option trader. There is nothing beyond stat 101 that we use.
We put funny Greek words on it, delta, gamma, vega. I think that's just nonsense to go have us charge you a higher price.
From the episode’s captions: roughly the first two minutes, lightly cleaned. Keep watching on YouTube →
Topics
- move index calculation
- implied volatility
- expected daily move
- s&p volatility pricing
- options volatility basics
Watch the episode
Watch “What Does a MOVE of 100 Actually Mean?” on YouTube
Summary, takeaways and quote selection by Octagon. Quotes are short excerpts; the full conversation is in the episode.
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Alpha Exchange, this episode and its artwork belong to Dean Curnutt. Octagon is not affiliated with the show; this page is an independent summary.
