IvyDB US - Intraday
Unlock Intraday Trading Strategies with
Industry Standard Options Data
The IvyDB US database has been the industry standard for historical option prices and implied volatility data. The IvyDB US - Intraday product builds on this offering by providing accurate snapshots of options prices and their corresponding volatility calculations at 10:00 a.m., 2:00 p.m., and 3:45 p.m. EST.
With IvyDB US - Intraday, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.
Historical US Option Pricing Data, Volatility, and Analytics
IvyDB US - Intraday contains a complete historical record of intraday snapshot data on US exchange-traded equity and index options from January 2018 onward. The data includes both timestamped option pricing information (symbol, date, bid and ask quotes, and volume). IvyDB US - Intraday also provides interest rate, dividend, and corporate action information for each security.
For each option price, we calculate an accurate implied volatility and store it along with the option sensitivities (delta, gamma, vega, and theta) at each timestamp. Both European and American models are used, as appropriate, with dividend/split adjustments correctly incorporated. Additionally, a standardized constant-maturity volatility surface is calculated for each security at every snapshot, including interpolated implied volatilities over a wide range of expirations and moneyness (measured by delta).
Our data includes underlying symbol changes, dividend payments, and split/spinoff adjustments 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 names 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.
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
OptionMetrics Releases IvyDB US 7.0 and IvyDB ETF 5.0
OptionMetrics is pleased to announce the release of IvyDB US 7.0 and IvyDB ETF 5.0, introducing a more advanced framework for options data analysis with expanded flexibility in valuation methodologies and materially improved data precision. The datasets incorporate borrow rate–aware ...
Read moreOptionMetrics Featured in Reuters on Shifting U.S. Dollar Positioning
OptionMetrics was featured in a recent Reuters article on the U.S. dollar outlook, with Garrett DeSimone, Head of Quantitative Research at OptionMetrics, noting that hedging activity has eased following Kevin Warsh’s Fed nomination. OptionMetrics data also showed rising interest in ...
Read moreGarrett DeSimone Featured in MarketWatch on S&P 500 “Crash Insurance”
In a recent MarketWatch article, OptionMetrics’ Head of Quantitative Research, Garrett DeSimone, offered insight into current market sentiment. He noted that “crash insurance” for the S&P 500 remains “somewhat expensive,” even after last week’s rebound - underscoring continued caution among ...
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