ATLANTA & NEW YORK--(BUSINESS WIRE)--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.
| Ticker | Rebranded Name | Prior Name |
| MOVE | ICE BofAML U.S. Bond Market Option Volatility Estimate Index | Merrill Lynch Option Volatility Estimate MOVE Index |
| MOVE3M | ICE BofAML U.S. Bond Market 3 month Option Volatility Estimate Index | Merrill Lynch Option Volatility Estimate 3 Month |
| MOVE6M | ICE BofAML U.S. Bond Market 6 month Option Volatility Estimate Index | Merrill Lynch Option Volatility Estimate 6 Month |
| SMOVE1M | ICE BofAML U.S. Swap Market Option Volatility Estimate Index | Merrill Lynch Swaption Option Volatility Estimate 1 Month |
| SMOVE3M | ICE BofAML U.S. Swap Market 3-month Option Volatility Estimate Index | Merrill Lynch Swaption Option Volatility Estimate 3 Month |
| SMOVE6M | ICE BofAML U.S. Swap Market 6-month Option Volatility Estimate Index | Merrill Lynch Swaption Option Volatility Estimate 6 Month |
About Intercontinental Exchange
Intercontinental Exchange (NYSE: ICE) is a Fortune 500 company formed in the year 2000 to modernize markets. ICE serves customers by operating the exchanges, clearing houses and information services they rely upon to invest, trade and manage risk across global financial and commodity markets. A leader in market data, ICE Data Services serves the information and connectivity needs across virtually all asset classes. As the parent company of the New York Stock Exchange, the company is the premier venue for raising capital in the world, driving economic growth and transforming markets.
