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IvyDB Canada

The Gold Standard in Historical Options Data for
Canadian Markets

IvyDB Canada was launched in 2011, following the successes of its regional counterparts, IvyDB US, Europe, and Asia. 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 Canada, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.

 

Comprehensive Option Pricing Data, Volatility & Analytics on
Equities, Indices & ETFs From Canadian Exchanges

Comprehensive Coverage

IvyDB Canada covers over 300 optionable securities (equities, indices, and ETFs) from Canadian exchanges. Historical data and daily updates are available for most securities since March 2007. 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.

Accurate Calculations

For each option price, we calculate an accurate implied volatility and store it 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.

Continuous Time Series

Our database handles underlying symbol changes, dividend payments, and split/spinoff adjustments for you automatically. A permanent ID is associated with each instrument 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 search with ease for options on securities that either no longer trade or trade under a new ticker symbol.

Daily Updates

IvyDB Canada 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.

Customer Support

OptionMetrics clients receive dedicated support and expert guidance from day one. We provide step-by-step installation guides as well as in-depth reference manuals for your day-to-day use. Should you have any questions, our support team is available during working hours (Eastern Time) Monday through Friday; for urgent issues, assistance is available 24x7.

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The Latest News & Events

May 22, 2025 | News
How Income Investors Can Use Options for Fun and Profit

Stock options aren’t just for speculation; they can offer powerful insights into dividend safety. As Garrett DeSimone, Head Quant at OptionMetrics, puts it: “Investors don’t need to buy and sell options for them to be useful. Options can also tell ...

Read more
May 6, 2025 | News
This zero-day options craze could finally be coming to popular stocks like Nvidia and Tesla. Here’s what to know.

Nasdaq has officially requested SEC approval to list zero-day options (0DTE) on top stocks like Nvidia, Tesla, Apple, and more, with Monday and Wednesday expirations on the table. This expansion could be a major shift for options traders, especially individual ...

Read more
May 1, 2025 | Events
OptionMetrics Exhibiting at Commodity Trading Week in London

We’re excited to be exhibiting at Commodity Trading Week Europe in London, May 7–8. In today’s fast-moving markets, shaped by inflation and global uncertainty, historical options data is more valuable than ever. As CEO David Hait, Ph.D., says: “Historical options ...

Read more

Contact Us for More Information

Discover how you can get started with our historical options data to evaluate risk models, test
trading strategies, and perform sophisticated research, today.

Get Started

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  • About Us
  • Who We Serve
  • Why OptionMetrics
  • Leadership
  • Data Products
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  • Signed Volume
  • Implied Beta
  • Dividend Forecasting
  • Research
  • Blog
  • News & Events
  • Careers
  • Contact Us
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