Data Analysis Products by Location
Historical Option Volatility Data
More than 300 institutions trust OptionMetrics for industry-standard, independent data. Our historical option prices, implied volatility data and associated analytics allow you to conduct in-depth research, backtest strategies, and evaluate risk models.
Historical Volatility Correlations
Common applications of the data include researching correlations in volatility across underlying stocks, computing statistical properties of the volatility surface, calculating skew and term structures, and dispersion and variance swaps trading, for example.
Whether you need historical volatility correlations or other metrics, OptionMetrics allows you to use any tool or API. We include utilities to allow you to use an SQL server database. If at any point you have questions, our support team is there to assist you.
Find out why hundreds of organizations and academics turn to OptionMetrics. Review our data products or fill out a qualification form today.
The IvyDB database has become the industry standard for historical option prices and implied volatility data since its launch in 2002. Used by over 300 institutions, IvyDB contains 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 CoverageIvyDB 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) starting as early as January 1996. The data includes 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 security. IvyDB also provides all interest rate, dividend, and corporate action information for each security so you can correlate your own option pricing models with 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.
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 US is updated daily to incorporate new end-of-day prices from the exchanges. A patch file is also provided that contains corrections to previous prices or calculations when needed. Your IvyDB database is always current and ready to use.
OptionMetrics clients receive dedicated support and expert guidance from day one. We provide step-by-step guides for installation as well as in-depth reference manuals that detail our methodologies. Should you have any questions, our support team is available during working hours (NYC Eastern Time) Monday through Friday; for urgent issues, assistance is available 24/7.
When you are evaluating future fluctuations and certain predictive factors in the American options market, quality volatility surface data matters. Whether you need historical annual volatility for the S&P 500 for academic research or are seeking a historical volatility research database for options decisions, accuracy counts.
OptionMetrics offers high-quality, highly accurate data for American options. We also offer superior customer support so your questions always receive timely answers.
Find out why OptionMetrics is trusted by more than 300 organizations and academic institutions that are hungry for data. Look over our data products or fill out a qualification form to get qualified for an evaluation.
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, you’ll be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.
Comprehensive CoverageIvyDB Canada covers over 200 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.
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.
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 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.
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.
Following the success of its US counterpart, IvyDB Europe was launched in 2008. It has since become the industry standard for historical option prices and implied volatility data in the European markets. Used by over 300 institutions, IvyDB contains 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 CoverageIvyDB Europe covers over 900 optionable securities (equities and indices), from all major European exchanges, including the UK, France, Germany, Switzerland, Netherlands, Belgium, Spain, and Italy. Historical data and daily updates are available for most securities since January 2002. 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). 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 Europe 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.
Since its launch in 2010, IvyDB Asia has brought much-needed transparency of option prices and implied volatility data in the Asian markets. 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 CoverageIvyDB Asia covers over 500 optionable securities (equities and indices), from all major Asian-Pacific exchanges, including Hong Kong, Japan, Taiwan, Korea, and Australia. Historical data and daily updates are available for most securities since January 2006. 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). 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 Asia 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.
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 CoverageIvyDB 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.
Optigraph is a flexible and fast charting tool for graphing realized and implied volatility data on all US optionable securities, including indices. Users can quickly view volatility patterns going as far back as 1996 and compare vols across securities.
With OptiGraph you can also calculate correlations between volatilities, analyze which vols are cheap or rich across underlying securities or different maturities, view skew patterns, trading volume, and more.
Currently, OptiGraph is used by professional options traders at major investment banks, prop trading shops, and hedge funds. Traditional money managers also use OptiGraph to quickly assess implied volatility levels for the stocks and indices they trade.
OptiGraph is powered by IvyDB, the high-quality historical option price and implied volatility database from OptionMetrics.
