The Leading Historical Options Data on US Listed ETFs
OptionMetrics’ IvyDB ETF provides the most comprehensive historical option pricing data and accurate implied volatility calculations and greeks for over 3,000 US-listed ETFs. Institutional investors, hedge fund managers, quantitative analysts, academic researchers, and others use IvyDB ETF to backtest technical strategies, evaluate risk models, perform efficiency tests and conduct sophisticated research on derivatives trading.
Historical US Option Pricing Data, Volatility, and Analytics
IvyDB ETF contains a complete historical record of end-of-day data on all US exchange-traded ETFs 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 ETF. IvyDB ETF also provides all interest rate, dividend, and corporate action information, to enable users to correlate their own option pricing models with calculations.
For each option price in IvyDB ETF, OptionMetrics calculates an accurate implied volatility and stores 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). Use our volatility surface to create your own volatility trading strategies, whether simple or complex.
Continuous Time Series
IvyDB ETF 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.
IvyDB ETF is updated daily to incorporate new end-of-day prices in all US exchange-traded ETFs. A daily patch file is also provided which contains corrections to previous prices or calculations when needed. The IvyDB ETF database is always current and ready to use.
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.
How Bullish Are Investors on Nvidia Now? Options Offer a Clue
With Nvidia expected to report on earnings today after market close, here’s what the options market is indicating for the stock. Read the Wall Street Journal article by Charley Grant, CFA, and Gunjan Banerji, with feedback from OptionMetrics’ Head Quant Garrett DeSimone, "How ...
OptionMetrics Sponsoring Neudata New York Winter Data Summit
New York – November 15, 2023 – OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, is sponsoring and exhibiting at Neudata’s New York Winter Data Summit on December 7 at 225 Liberty Street, New ...
OptionMetrics' contributor Brett Friedman examines the muted reactions of the VIX from the recent events occurring in the Middle East. What does it say about what could drive the VIX to higher levels on a more sustained basis? Read his ...