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Home/Financial Data/Derivatives Data/Options Price Data/
OptionMetrics IvyDB Global Indices - Historical Option Price Data a...
OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied...
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OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data

OptionMetrics
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Data Samples
Currency.csv Distribution.csv Distribution_Projection.csv Exchange.csv Forward_Price.csv Future_Price.csv Historical_Volatility.csv Index_Dividend.csv Option_Price.csv Security_Name.csv Security_Price.csv Std_Option_Price.csv Zero_Curve.csv
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SecurityID
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Currency
Volatility
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SecurityID
Date
OptionID
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Currency
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Symbol
Bid
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Last
Volume
OpenInterest
SpecialSettlement
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Gamma
Vega
Theta
AdjustmentFactor
ExerciseStyle
SymbolFlag
CalculationPrice
ReferenceExchange
AMSettlement
ContractSize
ExpiryIndicator
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ISIN
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SecurityID
Date
Exchange
Currency
Bid
Ask
OpenPrice
ClosePrice
Volume
TotalReturn
AdjustmentFactor
AdjustmentFactor2
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Theta
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Currency
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Currency
Date
Days
Rate
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Sign In To Preview Data
Currency.csv Distribution.csv Distribution_Projection.csv Exchange.csv Forward_Price.csv Future_Price.csv Historical_Volatility.csv Index_Dividend.csv Option_Price.csv Security_Name.csv Security_Price.csv Std_Option_Price.csv Zero_Curve.csv
Volume
36
Indicies
Avail. Formats
.json and .csv
File
Coverage
16
Countries
History
28
years

Data Dictionary

[Sample] Currency.csv
Attribute Type Example Mapping
ID
 Integer 0
Symbol
 String N/A
Name
 String Unknown
[Sample] Exchange.csv
Attribute Type Example Mapping
ID
 Integer 4
Symbol
 String SWX
Country
 String Switzerland
Name
 String Elektronische Borse Schweiz
[Sample] Forward_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
Currency
 Integer 333
Date
 String 6/27/2024 0:00
Expiration
 String 6/27/2024 0:00
AMSettlement
 Integer 0
ForwardPrice
 Float 5482.87
[Sample] Historical_Volatility.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
Date
 String 6/27/2024 0:00
Days
 Integer 10
Currency
 Integer 333
Volatility
 Float 0.042431057
[Sample] Index_Dividend.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
Date
 String 6/27/2024 0:00
Expiration
 String 1/1/1900 0:00
Rate
 Float 0.01041248
[Sample] Option_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
Date
 String 6/27/2024 0:00
OptionID
 Integer 155195973
Exchange
 Integer 999
Currency
 Integer 333
Expiration
 String 7/19/2024 0:00
Strike
 Integer 1000000
CallPut
 String C
Symbol
 String SPX 240719C1000000
Bid
 Float 4478.6
Ask
 Float 4480.5
Last
 Integer # Contact Last Name
Volume
 Integer 0
OpenInterest
 Integer 2857
SpecialSettlement
 Integer 0
ImpliedVolatility
 Float -99.99
Delta
 Float -99.99
Gamma
 Float -99.99
Vega
 Float -99.99
Theta
 Float -99.99
AdjustmentFactor
 Integer 1
ExerciseStyle
 String E
SymbolFlag
 Integer 1
CalculationPrice
 String M
ReferenceExchange
 Integer 999
AMSettlement
 Integer 1
ContractSize
 Integer 100
ExpiryIndicator
 String
[Sample] Security_Name.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
EffectiveDate
 String 1/2/1996 0:00
CUSIP
 Integer 64881510
Ticker
 String SPX
Issuer
 String NEW S & P 500 INDEX
ISIN
 String US78378X1072
VALOR
 String NULL
[Sample] Security_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
Date
 String 6/27/2024 0:00
Exchange
 Integer 999
Currency
 Integer 333
Bid
 Float 5467.54
Ask
 Float 5490.81
OpenPrice
 Float 5473.59
ClosePrice
 Float 5482.87
Volume
 Integer 0
TotalReturn
 Float 0.000907321
AdjustmentFactor
 Integer 1
AdjustmentFactor2
 Integer 1
[Sample] Std_Option_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 108105
Date
 String 6/27/2024 0:00
Days
 Integer 10
ForwardPrice
 Float 5489.429799
Strike
 Float 5489.43
CallPut
 String C
Premium
 Float 32.07927
ImpliedVol
 Float 0.08863
Delta
 Float 0.5027828
Gamma
 Float 0.004958293
Theta
 Float -704.011
Vega
 Float 361.9395
Currency
 Integer 333
[Sample] Zero_Curve.csv
Attribute Type Example Mapping
Currency
 Integer 1
Date
 String 6/27/2024 0:00
Days
 Integer 10
Rate
 Float 0.009349592

Description

Comprehensive database of historical option prices, implied volatility, and sensitivity calculations for the major indices. IvyDB GI provides data of the highest quality for empirical research and econometric studies as well as in the development and testing of derivatives trading strategies.
IvyDB GI provides the last traded prices or last available bid and ask quotes for each option, every day, ensuring comprehensive options price data and trading data. We time-synchronize those prices with the security price for accurate implied volatility and greeks calculations, enhancing the reliability of our derivatives data and options data. We also publish daily settlement prices and their implied volatilities, offering essential indices data for tracking market movements. In addition to options price data and trading data, IvyDB GI provides information on historical distributions and corporate actions such as dividend payments, splits, mergers, and name changes, ensuring comprehensive derivatives data and indices data for thorough analysis. Our own dividend projections ensure reliable inputs into our models, supporting accurate options data and derivatives data calculations. IvyDB GI is your trusted source for options data, derivatives data, and indices data, facilitating informed decision-making and strategic analysis in the financial markets. Coverage: • US: DJI, EEM, EFA, MXEF, NASDAQ, S&P 100/500, RUSSELL 2000, VIX • Europe: AEX, BEL, CAC 40, DAX, DJGTE, EUROSTOXX 50, FTSE 100, IBEX, MIB, OMEM, OMX, OMXS30, SMI, STOXX 50/600, VSTOXX • Asia: HANG SENG, HSCE, KOSPI 200, NIKKEI, S&P 200 AU, TAIEX, TOPIX • Canada: S&P 60, XIU Effortless software integration Arranged as a set of flat text files, organized in a relational structure • Easily incorporated into database management systems such as Microsoft SQL Server • Nightly downloads of zipped files via FTP • Corrections issued through patches Smoothed daily volatility surfaces In addition to the daily implied volatility values for each listed option, we also publish a smoothed and int erpolated volatility surface for each security, each available currency, every day. You may now directly compute skew, term structure, and correlations. • Expirations: 10, 30, 60, 91, 122, 152, 182, 273, 365, 547, and 730 calendar days • Deltas: 0.10, 0.15, 0.20, 0.25, 0.30, 0.35, 0.40, 0.45, 0.50, 0.55, 0.60, 0.65, 0.70, 0.75, 0.80, 0.85, 0.90 (negative deltas for puts) • Implied strikes and premium

Country Coverage

Asia (4)
India
Japan
Korea (Republic of)
Taiwan
Europe (9)
Belgium
France
Germany
Italy
Netherlands
Spain
Sweden
Switzerland
United Kingdom
North America (2)
Canada
United States of America
Oceania (1)
Australia

History

28 years of historical data

Volume

36 Indicies

Pricing

Free sample available
9% discount if you buy via Datarade
License Starts at
One-off purchase Not available
Monthly License Not available
Yearly License Available
Usage-based Not available
Request detailed pricing

Suitable Company Sizes

Small Business
Medium-sized Business
Enterprise

Delivery

Methods
REST API
Streaming API
Frequency
minutely
hourly
weekly
monthly
quarterly
yearly
real-time
Format
.json
.csv

Use Cases

Categories

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Frequently asked questions

What is OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data?

Comprehensive database of historical option prices, implied volatility, and sensitivity calculations for the major indices. IvyDB GI provides data of the highest quality for empirical research and econometric studies as well as in the development and testing of derivatives trading strategies.

What is OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data used for?

This product has 5 key use cases. OptionMetrics recommends using the data for Alpha Generation, Trading, Quantitative Investing, Investment Management, and Risk Modelling. Global businesses and organizations buy Options Price Data from OptionMetrics to fuel their analytics and enrichment.

Who can use OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data?

This product is best suited if you’re a Small Business, Medium-sized Business, or Enterprise looking for Options Price Data. Get in touch with OptionMetrics to see what their data can do for your business and find out which integrations they provide.

How far back does the data in OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data go?

This product has 28 years of historical coverage. It can be delivered on a minutely, hourly, weekly, monthly, quarterly, yearly, and real-time basis.

Which countries does OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data cover?

This product includes data covering 16 countries like USA, Japan, Germany, India, and United Kingdom. OptionMetrics is headquartered in United States of America.

How much does OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data cost?

Pricing information for OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data is available by getting in contact with OptionMetrics. Connect with OptionMetrics to get a quote and arrange custom pricing models based on your data requirements.

How can I get OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data?

Businesses can buy Options Price Data from OptionMetrics and get the data via REST API and Streaming API. Depending on your data requirements and subscription budget, OptionMetrics can deliver this product in .json and .csv format.

What is the data quality of OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data?

You can compare and assess the data quality of OptionMetrics using Datarade’s data marketplace.

What are similar products to OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied Volatility Data?

This product has 3 related products. These alternatives include OptionMetrics IvyDB Futures - Historical and EOD Futures data, Option Prices and Implied Volatility Data Since 2005, EDI Global End of Day/Closing Price Data for Derivatives Futures Price Data, Options Price Data Worldwide Exchanges History/Time Series avail., and Institutional Holder portfolio Over 10,000 Wealth Managers steak in public companies Over 7,000 stocks Historical & Real Time Sourced. You can compare the best Options Price Data providers and products via Datarade’s data marketplace and get the right data for your use case.

Pricing available upon request
License Starts at
One-off purchase Not available
Monthly License Not available
Yearly License Available
Usage-based Not available

OptionMetrics

The Leader in Historical Options Data
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