Intercontinental Exchange Inc. acquires volatility index from BofA
Intercontinental Exchange Inc. has agreed to acquire several fixed-income volatility indices from Bank of America, including the Merrill Lynch Option Volatility Estimate (MOVE) index.
“The MOVE Index has a long history of providing strong signals about bond market sentiment and we’re excited to have it become part of our portfolio of fixed-income indices,” said Lynn Martin, President & COO of ICE Data Services. “MOVE’s unique ability to concisely measure that sentiment will allow us to play a critical role in continuing to help our customers manage risk.”
The MOVE Index is a measure of U.S. interest-rate volatility which tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on two- five-, 10- and 30-year Treasuries.
In addition, ICE will acquire other variations of the MOVE index which track different option expiries and get other indices which measure volatility in the U.S. interest-rate swap market.
"One can think of the MOVE as 'the VIX for Bonds,’ ” said Harley Bassman, who created the MOVE index back in the 1990s. “By its design, MOVE has the unique ability to provide a signal for changing risk sentiment in the fixed income markets. While I would not call it predictive in isolation, rare is the case where a simultaneously low MOVE, flat yield curve and tight corporate spreads are not soon followed by bothersome market conditions."
MOVE and the accompanying fixed income volatility indices will become part of ICE Data Indices’ more than 5,000 global fixed income, equity, commodity and currency indices that use ICE Data Services pricing, reference data and analytics services.
In June, ICE Data Services launched the ICE US Broad Municipal Index, which expands its coverage of investment-grade municipal securities. The ICE US Broad Municipal Index (ticker: MUNI) tracks the performance of over 58,000 investment-grade tax-exempt municipal bonds representing over $1.6 trillion in total market capitalization. ICE said the new muni index tracks three times the number of bonds currently tracked by its investment grade tax-exempt municipal indices, a 60% increase in the market capitalization.
ICE Data Indices is the second largest fixed-income index provider in the world as measured by assets under management, with more than $1 trillion benchmarked against the indices.
ICE is a Fortune 500 company founded in 2000 and operates financial exchanges, clearing houses and information services. It is the parent company of the New York Stock Exchange and has total assets of about $93 billion as of 2018.