OptionMetrics

OptionMetrics is the premier provider of historical options data for use in empirical research and econometric studies. Quantitative researchers and financial professionals leverage OptionMetrics data for purposes such as analyzing market movement before mergers and acquisitions; exploring the relationship between option prices and daily stock return serial correlation; and investigating possible cases of insider trading.

OptionMetrics’ IvyDB US is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. IvyDB US contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. Subscribers can use IvyDB US to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment.

  • Coverage:
    Data on all US exchange-listed and NASDAQ equities and market indices, as well as on all US-listed index and equity options, starting from January 1996.
  • Features:
    • Option data elements including strike, expiration, call/put, best bid/ask prices, volume, open interest
    • Interest rate curves, dividend projections, and option implied volatilities and sensitivities calculations
    • Historical dividends and corporate actions details

OptionMetrics’ IvyDB Europe is the first comprehensive database of historical option prices, implied volatility, and sensitivity calculations for the major European markets.

  • Coverage:
    More than 900 optionable securities from exchanges in the UK, France, Germany, Switzerland, Spain, Italy, Netherlands, and Belgium starting from January 2002.
  • Features:
    • Option data elements including strike, expiration, call/put, bid/ask/last prices, currency, exchange
    • Daily implied volatility values for each listed option and a smoothed and interpolated volatility surface for each security on each day for all available currencies
    • Calculations on equity options dividends, index dividends, and the daily interest rate curve

For pricing information please contact:

Email: [email protected]