Linking OptionMetrics with Refinitiv

On the WRDS platform, there are two OptionMetrics data packages covering options market activities in the US and European markets: IvyDB US and IvyDB Europe. In addition to option pricing data, each package also carries information on the accompanying security, including pricing as well as historical identifiers associated with the security.

IvyDB US - Security Name File

The security name data for the IvyDB US package is stored on the WRDS server at: /wrds/optionm/sasdata/secnmd. Users can find OptionMetrics unique security identifier for the US data, secid, linked with other identifying information such as CUSIP, TICKER, and Issuer name. The table below shows how Citi Group's security information appears in the dataset:

The effect_date column reports the starting date of any changes of security information. For instance, the May 9th, 2011 record above indicates a CUSIP change from the old record of 17296710 to the new record of 17296742.

IvyDB Europe - Security Name File

In a similar manner to the IvyDB US data, the European OptionMetrics data also carries a securityname file that documents all historical identifiers of the issuing company, including VALOR and ISIN. The file path on the WRDS server is /wrds/optionm/sasdata/europe/security_name. The table below reports all Volkswagen related entities in the IvyDB Europe security name data.

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To connect the universe of option issuing entities with Refinitiv data, we recommend the use of CUSIP for US and ISIN for European entities, respectively. On the Refintiv front, users can rely on the vw_securitymasterx table to look up company identifier information such as CUSIP and ISIN. For a detailed discussion of the Refinitiv mastertables, please refer to the Linking within Refinitiv documentation. .

One caveat we want to draw attention to here has to do with the timing of CUSIP/ISIN. While OptionMetrics provides a record of historical CUSIP, Refinitiv provides only the most current CUSIP and the latest obsolete CUSIP, prevCusip, as well as only the most recent ISIN. Therefore, one should expect a high linking percentage using CUSIP or ISIN for the current period and most recent past. As users go further back into historical data, they should expect to see a lower linking percentage. This is because older CUSIPs might not be recorded by Refinitiv's prevCusip variable.

Below is a sample code snippet using Citi as an example to link between IvyDB US and Refinitiv.

Please make sure to select "SAS" in the kernel list when trying to run the code in Jupyter Notebook environment.

Jupyter Notebook: LinkOPMRefinitiv.ipynb View Larger Download

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