IvyDB Futures
Historical Data for Futures Options Markets
IvyDB Futures contains historical future option price data of the highest obtainable quality for the US and EU futures markets. Evaluate risk models, test trading strategies, and perform empirical and econometric research of the US and EU futures options markets.
Futures Data to Evaluate Risk, Test Strategies,
and Perform Research
IvyDB Futures covers 100+ of the most liquid optionable futures from CME, ICE, and Eurex global exchanges in eight sectors, including agriculture, energy, equity, interest rates, crypto, and more. The earliest historical data begins in January 2005. The data includes both daily option pricing information (symbol, date, settlement price, volume, and open interest) and settlement prices for the underlying futures.
A permanent ID is associated with each instrument to allow it to be easily tracked over time. We also include a record of option name, underlying futures name, option strike multiplier and exchange to allow you to search with ease for options on securities that either no longer trade or trade under a new symbol.
IvyDB Futures is updated daily to incorporate new settlement prices for the futures and their options that we cover. A daily patch file is also provided which contains corrections to previous prices when needed. Your IvyDB Futures 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.
The Latest News & Events
‘Today’s relatively low Volatility Index should not be mistaken for calm’ – Winhall Risk
A lower VIX does not necessarily mean uncertainty has disappeared. Recent analysis from FOW featuring insights from OptionMetrics contributor Brett Friedman shows that while the VIX has retreated from recent highs, the volatility risk premium (VRP) remains elevated relative to ...
Read moreHow single-stock turbulence presents ‘asymmetric’ downside risk for a rather calm S&P 500
While the S&P 500 has remained relatively calm, volatility beneath the surface tells a different story. Recent outsized moves in individual stocks have created a growing divergence between single-stock volatility and broader market volatility, fueling what options traders know as ...
Read moreOptionMetrics Head Quant Garrett DeSimone Speaking on Extracting Alpha from Options-Implied Yields at Global EQD Las Vegas
OptionMetrics will be speaking and exhibiting at Global EQD in Las Vegas, May 20-21. Head of Quantitative Research Garrett DeSimone, Ph.D. will speak about “The Dividend Valuation Gap — Extracting Alpha from Options-Implied Yields” on Wednesday, May 20 at 5 ...
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