News & Events

OptionMetrics Announces Historical Option Data Product for Europe

October 18, 2006

New York, NY – October 18, 2006

OptionMetrics LLC today announced the release of IvyDB Europe™, the first historical option pricing and implied volatility data source developed specifically for the European listed options markets.

“The increasing use of European equity and index options by our customers, primarily proprietary traders and hedge funds, has underscored the need for high-quality implied volatility and pricing data for the European equity and option markets,” said David Hait, President of OptionMetrics. “Customers who aim to identify a broader range of mispricings in the options, credit, and convertibles markets and capture new trading opportunities now can rely on a European version of the same high-quality research data that can be found in the original IvyDB product.”

IvyDB Europe will give traders access to more than four years of high-quality European equity and index option price data and implied volatility calculations. A key feature of the product is its implied volatility surface file, which contains historical standardized implied volatilities for each underlying equity and index, using constant expiration and moneyness parameters.

“There is a need for a comprehensive industry source for historical options prices and implied volatility calculations for the major European equity derivative markets,” said Richard Gee of Bear Stearns. “OptionMetrics has a history of providing us with reliable data for the US markets, and we look forward to integrating their European database as well.”

According to Cristophe Lepitre, of ADI Alternative Investments, “Some possible applications of quality European implied volatilities include the valuation of convertible bonds and variance swaps. Implied volatility is also much better than historical volatility in the calibration of multi-factor models.”

IvyDB Europe now joins IvyDB as part of the OptionMetrics research data product line. IvyDB is the first widely available, comprehensive source of high-quality historical price and implied volatility data for the US equity and index options markets. It contains accurate historical prices – dating back to January 1996 – of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. Customers, who include broker/dealers, hedge funds, and proprietary trading firms, can use the product to back-test trading strategies, evaluate risk/return models, and perform sophisticated research on all aspects of options investment.

OptionMetrics, LLC is a financial research and consulting firm specializing in the econometric analysis of the options markets. It provides unique solutions to clients in the financial services industry by leveraging its core expertise in the options markets, econometrics, and technology.