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IvyDB US

The Industry Standard in Historical Options Data for US
Listed Markets

Since its launch in 1999, 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

Comprehensive Coverage

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.

Accurate 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.

Continuous Time Series

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.

Daily Updates

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.

Customer Support

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.

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The Latest News & Events

May 6, 2025 | News
This zero-day options craze could finally be coming to popular stocks like Nvidia and Tesla. Here’s what to know.

Nasdaq has officially requested SEC approval to list zero-day options (0DTE) on top stocks like Nvidia, Tesla, Apple, and more, with Monday and Wednesday expirations on the table. This expansion could be a major shift for options traders, especially individual ...

Read more
May 1, 2025 | Events
OptionMetrics Exhibiting at Commodity Trading Week in London

We’re excited to be exhibiting at Commodity Trading Week Europe in London, May 7–8. In today’s fast-moving markets, shaped by inflation and global uncertainty, historical options data is more valuable than ever. As CEO David Hait, Ph.D., says: “Historical options ...

Read more
April 29, 2025 | News
Gold’s Bullish Sentiment Seen Easing as Record Rally Stumbles

Gold has outperformed major asset classes this month, but shifts in options positioning suggest caution ahead. In a recent Bloomberg piece, Garrett DeSimone, head quant at OptionMetrics, notes that “from the options market perspective, upside and downside weights are pretty ...

Read more

Contact Us for More Information

Discover how you can get started with our historical options data to develop strategies to generate
alpha, manage risk and perform research, today.

Get Started

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  • Who We Serve
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