OptionMetrics

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

Products

Description

Data Product Details

Title:

IvyDB US by OptionMetrics

Product Code/Schema:

optionm_all

Data Dictionary

Data Specifications

Date Range:

1900-01-01 - 2033-07-16

Update Frequency:

Annually

Total Size:

1.84 TiB

Data Last Updated:

Nov. 14, 2025, 4:52 p.m.

Usage:


Niche Extensive

Content Summary

Identifiers:

  • cusip_full
  • sic
  • ticker

Regions:

North America

Concepts:

Options / Derivatives

Often Paired With:

Data Product Details

Title:

IvyDB Europe by OptionMetrics

Product Code/Schema:

optionm_europe

Data Dictionary

Data Specifications

Date Range:

1900-01-01 - 2033-08-19

Update Frequency:

Annually

Total Size:

2.54 TiB

Data Last Updated:

June 11, 2023, 1:48 a.m.

Usage:


Niche Extensive

Content Summary

Identifiers:

  • isin

Regions:

Europe

Concepts:

Options / Derivatives

Often Paired With:

Data Product Details

Title:

OptionMetrics Sample / Trial - IvyDB Europe

Product Code/Schema:

optionmsamp_europe

Data Dictionary

Data Specifications

Date Range:

2010-10-11 - 2018-12-21

Update Frequency:

N/A

Total Size:

5.8 MiB

Data Last Updated:

None

Usage:


Niche Extensive

Content Summary

Identifiers:

No identifiers specified for this product.

Regions:

Europe

Concepts:

Options / Derivatives

Often Paired With:


No related products specified.

Data Product Details

Title:

OptionMetrics Sample / Trial - IvyDB US

Product Code/Schema:

optionmsamp_us

Data Dictionary

Data Specifications

Date Range:

1900-01-01 - 2019-08-12

Update Frequency:

N/A

Total Size:

6.7 MiB

Data Last Updated:

None

Usage:


Niche Extensive

Content Summary

Identifiers:

No identifiers specified for this product.

Regions:

North America

Concepts:

Options / Derivatives

Often Paired With:


No related products specified.
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Vendor Details

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