U.S. Treasury volatility rose sharply this week, while Bitcoin options markets stayed subdued. Data cited from the U.S. Treasury and Deribit showed that the ICE BofA MOVE Index closed at 78.56 on Sept. 22 and climbed to 104.58 by Sept. 24, up about 33% in two trading sessions and marking its highest level since March 30.
The MOVE Index uses U.S. Treasury option prices to estimate expected volatility over the next month. It is often described as the bond market’s version of the VIX. A higher reading points to stronger demand for rate hedging.
Bitcoin options pricing moved in the opposite direction. Deribit’s Bitcoin Volatility Index, or DVOL, fell from 37.4 to 36.04 over the same period. By the evening of Sept. 26 Taipei time, DVOL had slipped again to around 34.3, close to this year’s low of 33.59 recorded on Sept. 17, a gap of roughly 0.7. The report said Bitcoin was trading at $83,966 at the time, up 3.34% over the past seven days.
MOVE pulled back to 96 on Sept. 25, down about 8.2% on the day, though it still stood roughly 19% above the 80.64 level seen a week earlier. DVOL did not rebound with it and instead declined for a second straight day.
10-year Treasury yield rose 22 basis points in two days
The tension in bonds came from a rapid jump in yields. U.S. Treasury data showed the 10-year yield at 4.96% on Sept. 22 and 5.18% on Sept. 24, an increase of 22 basis points in two days. It then edged down to 5.17% on Sept. 25. According to the St. Louis Fed’s FRED database, that was the highest level since July 2007.
The 30-year Treasury yield rose from 5.29% to 5.47% over the same period, then moved up again to 5.49% on Sept. 25, matching the level last seen in June 2004. The report also noted that BlockTempo had previously cited CME FedWatch data showing traders expected four more Federal Reserve rate hikes by June 2027. As rate expectations move higher, Treasury prices tend to fall.
MOVE’s high for this year was 115.02 on March 26. During the tariff shock on April 8, 2025, it had closed at 139.88. This latest move stood out for its speed: the index gained about 30% in two days, including a 21.5% jump on Sept. 23 alone.
Stocks saw only a modest rise in hedging demand
Equity hedging demand increased only slightly. The VIX, which tracks expected volatility for the S&P 500, closed at 14.21 on Sept. 22, the lowest level of the year. It rose to 15.67 on Sept. 24, up about 10%, and then eased back to 14.87 on Sept. 25. The report said the VIX increase was only about one-third of the MOVE surge.
DVOL reflects the annualized implied volatility for Bitcoin over the next 30 days based on options prices. A reading of 34.3 translates into an expected daily move of about 1.8%. DVOL’s high for the year was 82.62 on Feb. 5, meaning the current level is less than half of that peak.
Using closing data from 20 trading days between Aug. 28 and Sept. 25, BlockTempo calculated the correlation coefficient between MOVE and DVOL at about negative 0.42. In other words, on many days when bond-market volatility moved higher, Bitcoin implied volatility moved lower.
Realized volatility has been running above implied volatility
The report said Bitcoin’s actual price swings have been larger than what options pricing suggests. Realized volatility is calculated from actual closing prices, while implied volatility is derived from options prices. Based on Binance daily closes, Bitcoin’s realized volatility over the past 30 days was about 42%, and its 14-day realized volatility was about 48%, both above DVOL’s 34.3.
Bitcoin closed at $75,644 on Sept. 15 and had risen about 11% by the time of publication. From Sept. 19 to Sept. 21, it climbed from $81,250 to $86,620, a gain of 6.6% in two days, before returning to around the $84,000 area. The report said that with implied volatility below realized volatility, the cost of buying Bitcoin options for hedging looked relatively low when judged against the past month’s actual moves.
$81,178 and $86,620 define this week’s range
Bitcoin closed at $81,178 on Sept. 20 and at $86,620 on Sept. 21, with the latter marking its highest close since July. The report said a break below $81,178 would erase the past week’s gains, while a move back above $86,620 would amount to a breakout above the top of the recent trading range.
It added that bond-market hedging costs rose about 30% in two days, while equity hedging costs increased about 10%, yet Bitcoin options remained cheaper than recent realized moves would suggest. If MOVE returns above 100 and the 10-year Treasury yield holds above 5.1%, the next question will be whether DVOL starts to move away from this year’s lows. A rise in DVOL would indicate that the Bitcoin options market is beginning to price in interest-rate risk.
FAQ
What is the MOVE Index, and how much did it rise this time?
The MOVE Index is compiled by ICE and uses U.S. Treasury option prices to estimate expected volatility over the next month. It is often called the bond market’s version of the VIX. It closed at 104.58 on Sept. 24, up about 33% over two trading sessions.
What does a Bitcoin DVOL reading near 34 mean?
DVOL is Deribit’s measure of 30-day annualized implied volatility for Bitcoin based on options prices. A level around 34.3 implies an expected daily move of about 1.8% and sits close to this year’s low of 33.59.