Intercontinental Exchange Inc. agreed to acquire a family of fixed-income volatility indexes, including the Merrill Lynch Option Volatility Estimate family of indexes, from Bank of America Merrill Lynch.
Terms of the deal were not disclosed.
The Merrill Lynch Option Volatility Estimate, or MOVE Index, is a 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 two-year, five-year, 10-year and 30-year treasuries. Intercontinental Exchange will also acquire other variations of MOVE that track different option expiries, and other indexes that similarly measure volatility in the U.S. interest rate swap market.
The MOVE Index and the accompanying fixed-income volatility indexes will become part of ICE Data Indices' family of more than 5,000 global fixed-income, equity, commodity and currency indexes that leverage ICE Data Services' pricing, reference data and analytics solutions.