It's called "Capitalism: A Love Story," a look at the financial crisis.
The picture has already received enthusiastic responses at the Venice and Toronto Film Festivals.
Moore brought free lunches for bankers, claiming they got a free lunch from taxpayers last year with the bailout, so they'd like this one.
"The love story is about the wealthy who love their money, but there is an added twist in the film. They not only love their money, they love our money. They want it all, it really should be a forbidden kind of love," he said.
Moore's movie opens in theatres in about two weeks.