Intercontinental Exchange (ICE) has agreed to acquire fixed income volatility indices, including the Merrill Lynch Option Volatility Estimate (MOVE) family of indices, from Bank of America Merrill Lynch. The MOVE Index is a well-recognised measure of US interest rate volatility and can provide a signal for changing risk sentiment in fixed income markets. ICE will also acquire variations of MOVE that track different option expiries, as well as other indices that measure volatility in the US interest rate swap market. The indices will become part of ICE Data Indices, which leverages ICE Data Services’ pricing, reference data and analytics solutions.
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