an options database and analytics provider for international
institutional investors and academic researchers, has made significant
updates to its IvyDB
US options database, offering even greater accuracy across a broader
range of data points.
The industry standard for comprehensive historical option pricing, IvyDB
US provides clean and reliable historical data on over 10,000 underlying
stocks and indices for every day since January 1996. It enables quants,
hedge fund managers, and others to back-test trading strategies,
evaluate risk models, and perform sophisticated research on derivatives
New updates in IvyDB US 4.0 include:
Four new fields added to assess stock and indices, including:
Forward price, the hypothetical
delivery price of the underlying asset.
A more readily accessible AM and PM
settlement indicator, with this information incorporated as
part of input in implied volatility calculations.
Contract size, or the deliverable
quantity of financial instruments in the options contract.
Expiry indicator, indicating whether
it is a weekly, monthly, or regular option.
- Forward price, the hypothetical
Data for these four new fields is also now backfilled from January 1,
Data corrections in indices, options, and
tables are now automatically updated and patched on a weekly basis,
ensuring the cleanest data and making information on corrections
The options surface has been extended to include a 10-day
maturity curve to create a standardized surface which closely
mimics the volatility of weekly contracts and the trend of investors
making shorter trades on options.
Additionally, OptionMetrics expanded the spectrum of new call and put delta
grid points–in adding 10, 15, 85, and 90–to include deep
in-the-money and deep out-of-the-money implied volatilities for calls
and puts. Historical data is also backdated on these to also include
the new shorter maturity curve.
Theta logic has been enhanced by
leveraging Black–Scholes PDE (partial differential equation) to
calculate theta as a function of the other greeks.
Since its launch in 2002, the IvyDB US database has become the
industry’s gold standard for historical option prices and implied
volatility data. With accurate end-of-day prices for options, along with
their correctly calculated implied volatilities and greeks, IvyDB is
used by over 300 institutions worldwide.
“The introduction of weekly options has created investor demand for a
short-term surface,” says OptionMetrics
CEO David Hait, Ph.D. “At OptionMetrics, we are continually looking
for ways to improve our technology and products and take into account
client feedback. These updates to IvyDB US enable us to deliver the most
comprehensive and accurate data set, while providing the shorter-term
options activity our clients have been looking for.”
For more information, a demo, or a trial of the updated IvyDB US, please
with 20 years providing high-quality options databases and analytics,
currently distributes its IvyDB historical options databases for U.S.,
Europe, Asia, Canada, and global indices to corporate and institutional
subscribers, as well as top business schools worldwide. It has covered
every U.S. strike and expiration option on over 10,000 underlying stocks
and indices since 1996. Leading portfolio managers, equity options
traders, and quantitative researchers rely on OptionMetrics for
extensive, high-quality data to construct and test options investment
strategies, perform empirical research, and accurately assess risk. www.optionmetrics.com,