Ice BofA Move Index Basics

The Ice BofA Move Index is a tool that helps investors gauge the likelihood of a US interest rate cut. It's calculated by Bank of America Merrill Lynch (BofA) and is based on a combination of factors, including the US Treasury yield curve and the Fed Funds rate.

The index is designed to be a simple and intuitive way to measure the market's expectation of a rate cut. It's calculated by subtracting the 10-year Treasury yield from the 3-month Treasury yield.

A high index reading indicates that the market expects a rate cut, while a low reading suggests that the market expects rates to stay the same or rise. This can be a useful tool for investors looking to position themselves for potential market shifts.

The ICE BofA MOVE index is a game-changer in the world of fixed income markets. It 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 MOVE index was created in the 1990s by Harley Bassman, who described it as "the VIX for Bonds." It's a unique tool that provides a signal for changing risk sentiment in the fixed income markets.

The index has a long history of providing strong signals about bond market sentiment, as Lynn Martin, president and COO of ICE Data Services, noted. The MOVE index will become part of the ICE Data Services business upon closure of the deal.

Bank of America Merrill Lynch's MOVE index is just one of the many fixed income volatility indices that ICE is acquiring. ICE Data Services' COO, Martin, commented that the indices will provide the exchange group's customers with more choice.

In 2017, ICE acquired Bank of America Merrill Lynch's global research fixed income indices, which were the second most used fixed income indices by assets under management globally at the time. This acquisition demonstrates ICE's commitment to expanding its offerings in the data business segment.

The ICE Data Services business segment reported a surge in sales during the second quarter this year, with revenues up 5% year-on-year to $553 million. This growth is a testament to the increasing demand for ICE's data and indices products.