Data Products
Comprehensive Historical Options & Futures Options Data
Used by 300+ financial and academic institutions worldwide to perform research,
evaluate risk, and deploy trade strategies, OptionMetrics is the leader in historical daily
option prices, implied volatility, and futures options data with its IvyDB databases.
Explore Our IvyDB Products
Our IvyDB options databases are the industry standard for historical option prices and implied volatility data. Obtain accurate end-of-day prices for options along with correctly calculated implied volatilities and greeks to evaluate risk models, backtest trading strategies, perform sophisticated research.
IvyDB Futures provides historical price data on liquid optionable US exchange-traded futures. IvyDB Futures can be used to evaluate risk models, test trading strategies, perform empirical and econometric research on US futures option markets.
IvyDB Signed Volume offers detailed intraday trading volume on equities and indices in five- and 30-minute snapshots, in addition to end-of-day. Gain insights into option market order flows, participant activity, and buy/sell pressure to improve strategies and research.
IvyDB Beta offers implied betas for the top 500 SPY constituents and market capitalization single-name US securities for factor investing. Gain insights into the options market's perception of systematic risk for equities.
OptionMetrics offers Woodseer Dividend Forecast Data for equities, ADRs, and ETFs globally. Assess expected dividend payouts, investment strategies, security performance, and more.
Areas of Coverage
Comprehensive end-of-day options data on US exchange-traded equity and index options
IvyDB US is the industry standard for historical option prices and implied volatility data. It offers a complete historical record of options prices (including options on ETFs and ADRs) from January 1996 onward.
Comprehensive end-of-day options data on the European markets
IvyDB Europe covers optionable securities from all major European exchanges, including the UK, France, Germany, Switzerland, Netherlands, Sweden, Belgium, Spain, and Italy.
Comprehensive end-of-day options data on Asian-Pacific markets
IvyDB Asia-Pacific covers optionable securities from all major Asia-Pacific exchanges including Hong Kong, Japan, Taiwan, Korea, and Australia.
Comprehensive end-of-day options data on Canadian markets
IvyDB Canada covers optionable securities from Canadian exchanges.
Comprehensive Coverage
IvyDB US contains a complete historical record of end-of-day data on all US exchange-traded equity and index options (including options on ETFs and ADRs) from January 1996 onward. The data includes both daily option pricing information (symbol, date, closing bid and ask quote, volume, and open interest) as well as high, low, and closing prices for the underlying equity or index. IvyDB US also provides all interest rate, dividend, and corporate action information for each security, so you can correlate your own option pricing models with calculations.
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 US 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.
Global Markets
The most accurate daily option prices, implied volatility, and greek calculations for North America, Europe, Asia-Pacific and Canada.
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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Discover why 300+ financial and academic institutions worldwide rely on OptionMetrics for
the highest quality comprehensive historical options data.