OptionMetrics provides data on U.S. options and their underlying securities, including historical price, implied volatility, and sensitivity information.

About OptionMetrics

OptionMetrics is the premier provider of historical options data for use in empirical research and econometric studies. Quantitative researchers and financial professionals leverage OptionMetrics data for purposes such as analyzing market movement before mergers and acquisitions; exploring the relationship between option prices and daily stock return serial correlation; and investigating possible cases of insider trading.

Data Available

IvyDB US is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. IvyDB US contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. Subscribers can use IvyDB US to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment.

  • Coverage
    Data on all US exchange-listed and NASDAQ equities and market indices, as well as on all US-listed index and equity options, starting from January 1996.
  • Features
    • Option data elements including strike, expiration, call/put, best bid/ask prices, volume, open interest
    • Interest rate curves, dividend projections, and option implied volatilities and sensitivities calculations
    • Historical dividends and corporate actions details

IvyDB Europe is the first comprehensive database of historical option prices, implied volatility, and sensitivity calculations for the major European markets.

  • Coverage:
    More than 900 optionable securities from exchanges in the UK, France, Germany, Switzerland, Spain, Italy, Netherlands, and Belgium starting from January 2002.
  • Features:
    • Option data elements including strike, expiration, call/put, bid/ask/last prices, currency, exchange
    • Daily implied volatility values for each listed option and a smoothed and interpolated volatility surface for each security on each day for all available currencies
    • Calculations on equity options dividends, index dividends, and the daily interest rate curve

For pricing information please contact:

Email: salesteam@optionmetrics.com


Product Description

Data Last Updated

optionm_all IvyDB US by OptionMetrics

Last updated July 15th, 2024. Data updated annually.

optionm_europe IvyDB Europe by OptionMetrics

Last updated June 11th, 2023. Data updated annually.

optionmsamp_europe OptionMetrics Sample / Trial - IvyDB Europe Sample

Data update frequency is not defined.

optionmsamp_us OptionMetrics Sample / Trial - IvyDB US Sample

Data update frequency is not defined.