IvyDB US
The Industry Standard in Historical Options Data for US
Listed Markets
Since its launch in 2002, the IvyDB US database has been the industry standard for historical option prices and implied volatility data. Used by over 300 institutions, IvyDB US contains accurate end-of-day prices for options along with correctly calculated implied volatilities and greeks.
With IvyDB US, 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 contains a complete historical record of end-of-day data on all US exchange-traded equity and index options (including options on ETFs and ADRs) 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 equity or index. IvyDB US also provides all interest rate, dividend, and corporate action information for each security, so you can correlate your own option pricing models with calculations.
For each option price, we calculate an accurate implied volatility and store 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). You can use our volatility surface to create your own volatility trading strategies, whether simple or complex.
Our database 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 US is updated daily to incorporate new end-of-day prices in all the equity and option exchanges we follow. A daily patch file is also provided which contains corrections to previous prices or calculations when needed. Your IvyDB 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
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 ...
Read moreOptionMetrics 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 ...
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