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 Coverage
IvyDB 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.