Intercontinental Exchange Completes Acquisition Of The Merrill Lynch Option Volatility Estimate (MOVE) Index From Bank Of America Merrill Lynch

Intercontinental Exchange, Inc. (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, today announced it has completed its acquisition of a family of U.S. fixed income volatility indices from Bank of America Merrill Lynch.

The acquired indices include the Merrill Lynch Option Volatility Estimate (“MOVE”) Index ‒ a well-recognized indicator of U.S. interest rate volatility that is often referred to as the “VIX for Bonds.” MOVE measures the implied yield volatility of a basket of one-month over-the-counter options on 2-year, 5-year, 10-year and 30-year Treasuries. Other indices in the family track different option expiries, as well as versions that measure volatility in the U.S. interest rate swap market.

The implied yield volatilities used to compile the indices are provided by ICE Data Derivatives, Inc., an affiliate of ICE Data Indices, LLC, and are based on mid-implied volatilities for at-the-money bond options and swaptions. Effective with the transition to ICE Data Indices, the indices are now being published in near real-time, starting at 9 a.m. ET. End of day closing levels for the indices are based on mid-implied volatilities calculated as of 3 p.m. ET.

The acquired indices, listed below, have been rebranded ICE BofAML Indices and are now part of ICE Data Indices’ comprehensive family of more than 5,000 global fixed income, equity, commodity and currency indices that leverage ICE Data Services’ pricing, reference data and analytics solutions.