IvyDB US - Intraday

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.