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VIX term structure and the MOVE index, explained
Last updated: 2026-10-07
The VIX is Cboe's measure of how much the S&P 500 is expected to move over the next 30 days, worked out from the prices of S&P 500 options and quoted as an annualised percentage. It is a price for insurance, not a forecast of direction: it rises when investors pay up to protect themselves, whichever way they fear the market will go.
It is the volatility layer of a macro view, and on its own it says less than it seems. The shape of the curve it sits on, and its counterpart in the bond market, say more.
Turning a VIX level into a move
Because the VIX is annualised, scaling it down gives a rough one-standard-deviation move over a shorter window. It is a rule of thumb that assumes normally distributed returns, which markets are not, but it makes a level legible:
expected 1-month move ≈ VIX / √12 (VIX 20 → about ±5.8%) expected 1-day move ≈ VIX / 16 (VIX 16 → about ±1%)
Implied volatility usually runs above the volatility that follows, because sellers of insurance demand a premium for bearing it. A VIX reading is a price, with that premium inside it.
The term structure
Cboe runs the same calculation over other horizons: VIX9D (9 days), VIX (30 days), VIX3M, VIX6M and VIX1Y. Plotted by horizon, they form a curve, and its slope is a cleaner read on stress than any single level. The standard summary is the ratio of the 30-day VIX to the 3-month VIX3M:
The one-day VIX1D is left off the curve: it collapses over weekends and holidays, when there is no session to price, and would fake a backwardation at the front every Friday.
MOVE: the same question for bonds
The MOVE index from ICE BofA is the Treasury market's VIX: implied volatility from one-month options on Treasuries across the 2-, 5-, 10- and 30-year maturities, measured in basis points of yield. When the shock starts in rates, from an inflation surprise or a policy pivot, MOVE tends to jump before or alongside the VIX. When the two diverge, the question is which market has misread the other.
Two more gauges round out the picture: SKEW, the relative price of deep out-of-the-money crash protection, and VVIX, the volatility of the VIX itself.
What volatility can't tell you
- Direction. A high VIX says moves are expected to be large, not that prices will keep falling. Spikes tend to fade, and a low VIX is not by itself a sign that a fall is due.
- Timing. Backwardation is a state, not a signal. It can persist through a long drawdown, and the curve can return to contango before the low or well after it.
- What a product will earn. The VIX index itself can't be bought. Funds and notes that track it hold VIX futures, whose curve is a different object from the index curve above, and in contango those products lose value as they roll from one month to the next.
- Where the stress is. The VIX covers the whole S&P 500. Tech-heavy or small-cap stress can run hot (VXN, RVX) while it stays calm.
Where to see it live
The Volatility & Risk Regime view draws the curve from VIX9D to VIX1Y, prints the VIX/VIX3M ratio, and blends the VIX level, that ratio, MOVE and SKEW into one 0–100 stress score with a regime label. Every gauge sits beside it with its daily and weekly moves and where it stands in its own year. AI agents read the same data through the get_volatility_regime MCP tool, whose regime block carries termRatio and termState; see MacroView for AI agents.
Related reading: the yield curve for the other term structure a macro view reads, credit spreads for whether stress has reached borrowing costs, and the options primer for how the option prices behind all of these work. Educational material, not investment advice.