Black-Scholes-Merton implied volatilities are standard for quoting options prices. Differences across delta (smile or skew) and across time-to-expiration (term structure) provide ample fodder for investigating arbitrage and relative value opportunities.
Our data is the standard across academic and industry research that involves options data, from trading strategy research to corporate finance. Currently over 300 institutional subscribers and universities rely on OptionMetrics.
Our products allow you to backtest trading strategies, evaluate risk models, and perform sophisticated research on all aspects of option investment.
Our documentation explains our calculations with enough detail to allow replication for spot checking.
We do not use input from market makers or brokers, and we are not affiliated with any bank, exchange, or data vendor.
Access is not tied to any particular API or platform. You can choose to use database management systems like Microsoft SQL Server, which we support with our own loading tool.
OptionMetrics, celebrating 20 years as the premier provider of historical options and implied volatility data, distributes its IvyDB databases to leading portfolio managers, traders, and quantitative researchers at leading corporate and academic institutions worldwide.
Used to construct and test investment strategies, perform empirical research, and accurately assess risk, IvyDB provides comprehensive coverage of the equity, index, and ETF options market in the U.S. as well as in Europe, Asia-Pacific, and Canada.
IvyDB’s end-of-day data begins as early as 1996 and includes underlying security and option prices with implied volatility, volatility surfaces, and greeks, in addition to analytics such as open interest and volume, interest rate, dividend payments and projections, and corporate action information. OptiGraph, a charting tool for graphing realized and implied volatility on U.S. options, is also available.
David J. Hait, Ph.D. is the CEO of OptionMetrics, LLC, which he founded in 1999. Dr. Hait is a financial economist with over 20 years of experience in applied quantitative derivative research and technology. Prior to founding OptionMetrics, he served as Vice President in the Fixed Income Research Group at Paine Webber, and taught courses on derivatives at J. P. Morgan. Dr. Hait received his Ph.D. in Finance from New York University’s Stern School of Business, where he was an Adjunct Professor at the Stern School of Business and Courant Institute of Mathematics. Dr. Hait also received an MS in Computer Science from University of California at Berkeley, and a BSE in Computer Engineering from the University of Pennsylvania.
Eran is a seasoned executive with 20+ years of diverse financial industry experience. Prior to joining OptionMetrics, Eran spent 13 years at Capital IQ, a leading global provider of public and private capital market data applications, helping it grow from its earliest days through and beyond its eventual acquisition by Standard & Poor’s (now S&P Global), ultimately as Head of Account Management for all of the Americas. Prior to S&P, Eran spent close to a decade working in for-profit education for Kaplan Test Prep and then briefly for ALFY, a start-up focused on designing a subscription-based educational gaming site for young children. Eran received a Bachelor of Science in Management from Binghamton University (SUNY), and a J.D. from the Benjamin N. Cardozo School of Law (Yeshiva University).
Garrett DeSimone is the Head of Quantitative Research at OptionMetrics, LLC. Dr. DeSimone graduated with his Ph.D. in Financial Economics from the University of Delaware, where he served as an adjunct lecturer in finance and economics. He earned a M.S. in Economics and Applied Econometrics from the University of Delaware, and a B.S. in Mathematics from the University of Maryland-Baltimore County.