ICE to Buy Fixed Income Volatility Indices from BoAML

Intercontinental Exchange Inc announced it has plans to acquire a family of fixed income volatility indices, including the prominent Merrill Lynch Option Volatility Estimate (“MOVE”) family of indices, from Bank of America Merrill Lynch. The MOVE Index is a well-recognized measure of U.S. interest rate volatility that tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on 2-year, 5-year, 10-year, and 30-year Treasuries. ICE will also acquire other variations of MOVE that track different option expiries, as well as other indices that similarly measure volatility in the U.S. interest rate swap market. MOVE and the accompanying fixed income volatility indices will become part of ICE Data Indices’ 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.