ICE Closes Acquisition of BAML Fixed Income Volatility Indices

Exchange operator, ICE, has completed the acquisition of Bank of America Merrill Lynch’s suite of US fixed income volatility indices, according to a story in The Trade. The deal includes the Merrill Lynch Option Volatility Estimate (MOVE) index, often referred to as the ‘VIX for bonds’, and accompanying fixed income volatility indices, which will now become part of the ICE Data Services business. Bank of America Merrill Lynch’s MOVE index measures US interest rate volatility by tracking movement in US Treasury yield volatility on current prices of one-month over the counter (OTC) options on 2-year, 5-year, 10-year, and 30-year Treasuries. The associated indices track different option expiries and general volatility in the US interest rate swap market.