Following the success of its regional counterparts (IvyDB US, Europe, Asia, and Canada), IvyDB Global Indices was launched in 2011. Used by over 300 institutions, OptionMetrics’ IvyDB products contain accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. With IvyDB, you’ll be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.Comprehensive Coverage
IvyDB Global Indices covers 29 major indices from exchanges in the US, Europe, Asia, and Canada. Historical data and daily updates are available for most securities since 1996 for the US, 2002 for Europe, and 2006 for Asia and Canada. The data includes daily option pricing information (settlement prices), our own dividend projections, and all historical distributions and corporate actions, such as splits, mergers, and name changes.
We match each option price with the security price for accurate implied volatility and greeks calculations, along with the option sensitivities (delta, gamma, vega, and theta). Both European and American models are used as appropriate, with dividend/split adjustments correctly incorporated. In addition, a standardized constant-maturity volatility surface is calculated for each security every day, including interpolated implied volatilities over a wide range of expirations and moneyness (by delta). You can use our volatility surface to create your own volatility trading strategies, whether simple or complex.
Our database handles underlying symbol changes, dividend payments, and split/spinoff adjustments for you automatically. A permanent ID is associated with each instrument (equity, index, or option) to allow it to be easily tracked over time even when the option symbol, strike price or deliverables change. We also include a record of underlying security name and ticker changes, to allow you to easily search for options on securities either no longer trade or trade under a new ticker symbol.
IvyDB Global Indices is updated daily to incorporate new end-of-day prices in all the equity and option exchanges we follow. A daily patch file is also provided which contains corrections to previous prices or calculations when needed. Your IvyDB database is always current and ready to use.
As an OptionMetrics customer, you will receive dedicated support and expert guidance from day one. We provide you with step-by-step manuals for installation, and in-depth Reference Manuals for your day-to-day use. Should you have any questions, our support team is available Monday through Friday, 8AM to 6PM (EST); for urgent issues, assistance is available 24/7.