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Home/Financial Data/Derivatives Data/Options Data/
OptionMetrics IvyDB Canada - Historical and EOD Options Data, Price...
OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Impl...
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OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007

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Data Samples
Distribution.csv Distribution_Projection.csv Exchange.csv Forward_Price.csv Historical_Volatility.csv Index_Dividend.csv Option_Info.csv Option_Price.csv Option_Volume.csv Security.csv Security_Name.csv Security_Price.csv Std_Option_Price.csv Volatility_Surface.csv Zero_Curve.csv
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SecurityID
RecordDate
SequenceNumber
ExDate
Amount
AdjustmentFactor
DeclareDate
PaymentDate
LinkSecurityID
DistributionType
Frequency
Currency
ApproximateFlag
CancelFlag
LiquidationFlag
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1 xxxxxxxxxx
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6 Xxxxxx
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SecurityID
Date
SequenceNumber
Status
Exchange
AddDelete
ExchangeFlags
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx
2 Xxxxxx Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx
3 xxxxxx Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx Xxxxx
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10 Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx
... Xxxxxxxxx xxxxxxxxx xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx
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SecurityID
Date
Expiration
AMSettlement
ForwardPrice
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx
2 Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx
3 xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx
4 Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx
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10 Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx
... xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx
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SecurityID
Date
Days
Volatility
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx
2 Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx
3 Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
4 xxxxxxxxx Xxxxxxx xxxxxx Xxxxx
5 xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx
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1 xxxxxxxxxx
2 Xxxxxxxxx
3 xxxxxx
4 xxxxxxxxxx
5 Xxxxx
6 Xxxxxx
7 Xxxxxxxxxx
8 Xxxxxx
9 Xxxxxxxxx
10 Xxxxxxxxxx
... xxxxxxxxx
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SecurityID
DividendConvention
ExerciseStyle
AMSettlementFlag
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx
2 Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx
3 Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
4 xxxxxxxxx Xxxxxxx xxxxxx Xxxxx
5 xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx
6 Xxxxx Xxxxxx xxxxx xxxxxxxx
7 xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx
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10 xxxxxx xxxxxxx xxxxxxx Xxxxx
... xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx
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SecurityID
Date
Symbol
SymbolFlag
Strike
Expiration
CallPut
BestBid
BestOffer
LastTradeDate
Volume
OpenInterest
SpecialSettlement
ImpliedVolatility
Delta
Gamma
Vega
Theta
OptionID
AdjustmentFactor
ContractSize
ExpiryIndicator
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx
2 xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx
3 Xxxxx Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxx
4 xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx
5 Xxxxxxxxx xxxxx Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx xxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx xxxxxxxx xxxxxx Xxxxxxxxxx xxxxxxxxxx Xxxxx
6 xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxxx xxxxxxxxxx Xxxxxx xxxxxxxxx Xxxxx xxxxx xxxxxxxxx xxxxxxx Xxxxxxxxx Xxxxxxx xxxxxxxxxx Xxxxx xxxxxxxxx xxxxxxx Xxxxxx xxxxxxxxx xxxxx Xxxxxxx
7 xxxxxxxxx Xxxxxxxx xxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxx xxxxxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxx xxxxx Xxxxxxxxxx xxxxxxxxxx xxxxxx Xxxxx Xxxxxxx Xxxxx Xxxxxx Xxxxx Xxxxxxxxx xxxxxx xxxxxxxx
8 Xxxxxxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxx Xxxxxxx xxxxxxxxx Xxxxx xxxxx Xxxxxx xxxxxxxxx xxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxx Xxxxx Xxxxxxxxx xxxxxxxxxx xxxxxx xxxxxxxxx xxxxxxx
9 Xxxxxxx Xxxxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxxx xxxxx Xxxxxxx xxxxxxxxxx Xxxxxxxxx Xxxxxxxx xxxxxxxxxx xxxxxxx Xxxxxxxx xxxxx Xxxxxx xxxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxxx Xxxxx Xxxxxxx
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SecurityID
Date
CallPut
Volume
OpenInterest
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx
2 Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx
3 xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx
4 Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx
5 Xxxxx Xxxxxx xxxxx xxxxxxxx xxxxxxx
6 Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx
7 xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx
8 Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx
9 xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx
10 Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx
... xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx
Sign In To Preview Data
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SecurityID
CUSIP
Ticker
SIC
IndexFlag
ExchangeFlags
Class
IssueType
IndustryGroup
Suffix
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx
2 xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx
3 Xxxxx Xxxxxx xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx
4 xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx
5 xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx
6 xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx
7 Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx
8 Xxxxxxxxx xxxxxxxxx xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx
9 xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx
10 Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx xxxxx
... Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx xxxxxxxx xxxxxx Xxxxxxxxxx xxxxxxxxxx Xxxxx
Sign In To Preview Data
#
SecurityID
Date
CUSIP
Ticker
Class
IssuerDescription
IssueDescription
SIC
Suffix
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx
2 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx
3 Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx
4 xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx
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10 Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx
... Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx
Sign In To Preview Data
#
SecurityID
Date
BidLow
AskHigh
ClosePrice
Volume
TotalReturn
AdjustmentFactor
OpenPrice
SharesOutstanding
AdjustmentFactor2
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx
2 Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx
3 xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx Xxxxxxxxx
4 xxxxxxxxxx Xxxxxx Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx
5 Xxxxx Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx
6 Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxx
7 xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx
8 Xxxxxxx xxxxx Xxxxxxx xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx
9 Xxxxxxxxx xxxxx Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx
10 xxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx xxxxxxxx xxxxxx Xxxxxxxxxx xxxxxxxxxx Xxxxx
... xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxxx xxxxxxxxxx Xxxxxx xxxxxxxxx Xxxxx xxxxx xxxxxxxxx
Sign In To Preview Data
#
SecurityID
Date
Days
ForwardPrice
Strike
CallPut
Premium
ImpliedVolatility
Delta
Gamma
Theta
Vega
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
2 xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx xxxxx xxxxxxxx
3 xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx
4 xxxxxx xxxxxxx xxxxxxx Xxxxx xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx Xxxxxxx xxxxxx Xxxxxxxx
5 Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx
6 Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx
7 xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx
8 Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx
9 xxxxxxxxx Xxxxxxxxxx xxxxxxxx xxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx xxxxxxxx xxxxxx Xxxxxxxxxx
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... xxxxxxxxx xxxxxxx Xxxxxxxxx Xxxxxxx xxxxxxxxxx Xxxxx xxxxxxxxx xxxxxxx Xxxxxx xxxxxxxxx xxxxx Xxxxxxx
Sign In To Preview Data
#
SecurityID
Date
Days
Delta
CallPut
ImpliedVol
Strike
Premium
Dispersion
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx
2 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx
3 Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx
4 xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx
5 xxxxxx xxxxxxx xxxxxxx Xxxxx xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx
6 Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx
7 xxxxxxxxx Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxxx Xxxxxxxxxx
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10 Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx
... Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx
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Date
Days
Rate
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2 xxxxxxxxxx Xxxxx Xxxxxx
3 Xxxxxxxxxx Xxxxxx Xxxxxxxxx
4 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
5 xxxxxxxxx Xxxxxxx xxxxxx
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8 Xxxxxx xxxxx xxxxxxxx
9 xxxxxxx Xxxxx Xxxxxxxx
10 xxxxxxxxxx xxxxxx Xxxxxxxxx
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Sign In To Preview Data
Distribution.csv Distribution_Projection.csv Exchange.csv Forward_Price.csv Historical_Volatility.csv Index_Dividend.csv Option_Info.csv Option_Price.csv Option_Volume.csv Security.csv Security_Name.csv Security_Price.csv Std_Option_Price.csv Volatility_Surface.csv Zero_Curve.csv
Volume
7.68K
Records
Avail. Format
.txt
File
Coverage
1
Country
History
17
years

Data Dictionary

[Sample] Distribution.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
RecordDate
 String 6/22/2022 0:00
SequenceNumber
 Integer 1
ExDate
 String 6/29/2022 0:00
Amount
 Integer 0
AdjustmentFactor
 Integer 10
DeclareDate
 String 4/12/2022 0:00
PaymentDate
 String 6/28/2022 0:00
LinkSecurityID
 Integer 0
DistributionType
 Integer 2
Frequency
 String
Currency
 String USD
ApproximateFlag
 Integer 0
CancelFlag
 Integer 0
LiquidationFlag
 Integer 0
[Sample] Exchange.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/29/2022 0:00
SequenceNumber
 Integer 1
Status
 String $
Exchange
 String J
AddDelete
 String
ExchangeFlags
 Integer 11
[Sample] Forward_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
Expiration
 String 6/28/2024 0:00
AMSettlement
 Integer 0
ForwardPrice
 Float 90.952588
[Sample] Historical_Volatility.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
Days
 Integer 10
Volatility
 Float 0.290474
[Sample] Option_Info.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
DividendConvention
 String D
ExerciseStyle
 String A
AMSettlementFlag
 Integer 0
[Sample] Option_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
Symbol
 String SHOP 240628C00076000
SymbolFlag
 Integer 1
Strike
 Integer 76000
Expiration
 String 6/28/2024 0:00
CallPut
 String C
BestBid
 Float 14.85
BestOffer
 Float 15.3
LastTradeDate
 String NULL
Volume
 Integer 0
OpenInterest
 Integer 0
SpecialSettlement
 Integer 0
ImpliedVolatility
 Float 1.924097
Delta
 Float 0.966675
Gamma
 Float 0.00811
Vega
 Float 0.35333
Theta
 Float -127.827
OptionID
 Integer 1015192931
AdjustmentFactor
 Integer 1
ContractSize
 Integer 100
ExpiryIndicator
 String W
[Sample] Option_Volume.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
CallPut
 String
Volume
 Integer 568
OpenInterest
 Integer 0
[Sample] Security.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
CUSIP
 String 82509L10
Ticker
 String SHOP
SIC
 String
IndexFlag
 Integer 0
ExchangeFlags
 Integer 11
Class
 String
IssueType
 Integer 0
IndustryGroup
 String NULL
Suffix
 String
[Sample] Security_Name.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 5/21/2015 0:00
CUSIP
 String 82509L10
Ticker
 String SH
Class
 String
IssuerDescription
 String SHOPIFY SVTG-A
IssueDescription
 String
SIC
 String
Suffix
 String
[Sample] Security_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
BidLow
 Float 90.88
AskHigh
 Float 91.02
ClosePrice
 Float 90.94
Volume
 Integer 2230861
TotalReturn
 Float 0.014163
AdjustmentFactor
 Integer 10
OpenPrice
 Float 89.31
SharesOutstanding
 Integer 1209908
AdjustmentFactor2
 Integer 10
[Sample] Std_Option_Price.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
Days
 Integer 10
ForwardPrice
 Float 91.06594
Strike
 Float 91.06594
CallPut
 String C
Premium
 Float 1.905258
ImpliedVolatility
 Float 0.31729
Delta
 Float 0.51047
Gamma
 Float 0.083472
Theta
 Float -36.99709
Vega
 Float 6.003498
[Sample] Volatility_Surface.csv
Attribute Type Example Mapping
SecurityID
 Integer 3006518
Date
 String 6/27/2024 0:00
Days
 Integer 10
Delta
 Integer -90
CallPut
 String P
ImpliedVol
 Float 0.285866
Strike
 Float 96.57288
Premium
 Float 5.773545
Dispersion
 Float 0.005808
[Sample] Zero_Curve.csv
Attribute Type Example Mapping
Date
 String 6/27/2024 0:00
Days
 Integer 30
Rate
 Float 0.050513397
Product Attributes
Attribute Type Example Mapping
Delta
 Decimal AAPL Stock Ticker
Gamma
 Decimal AAPL Stock Ticker
Theta
 Decimal AAPL Stock Ticker
Vega
 Decimal AAPL Stock Ticker
Implied Volatility
 Decimal AAPL Stock Ticker

Description

Launched in 2010, IvyDB Canada contains accurate end-of-day prices for options data along with their correctly calculated implied volatilities and greeks. With IvyDB Canada, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on the options markets.
IvyDB Canada was launched in 2011, following the successes of its regional counterparts, IvyDB US, Europe, and Asia. Used by over 300 institutions, OptionMetrics’ IvyDB products contain accurate end-of-day options price data, options data, and implied volatility data along with their correctly calculated greeks. With IvyDB Canada, which provides extensive options data, options price data, derivatives data, and stock market data, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets. Additionally, it offers valuable insights into broader stock market data, options data, and implied volatility data. IvyDB Canada ensures that you have access to comprehensive options price data, derivatives data, and stock market data, enabling you to make informed decisions based on detailed options data, options price data, and implied volatility data. Comprehensive Coverage IvyDB Canada covers over 300 optionable securities (equities, indices, and ETFs) from Canadian exchanges. Historical data and daily updates are available for most securities since March 2007. The data includes daily option pricing information (settlement prices), our own dividend projections, and all historical distributions and corporate actions, such as splits, mergers, and name changes. Accurate Calculations For each option price, we calculate an accurate implied volatility and store it along with the option sensitivities (delta, gamma, vega, and theta). Both European and American models are used as appropriate, with dividend/split adjustments correctly incorporated. In addition, a standardized constant-maturity volatility surface is calculated for each security every day, including interpolated implied volatilities over a wide range of expirations and moneyness (by delta). You can use our volatility surface to create your own volatility trading strategies, whether simple or complex. Continuous Time Series Our database handles underlying symbol changes, dividend payments, and split/spinoff adjustments for you automatically. A permanent ID is associated with each instrument to allow it to be easily tracked over time even when the option symbol, strike price, or deliverables change. We also include a record of underlying security name and ticker changes to allow you to search with ease for options on securities that either no longer trade or trade under a new ticker symbol. Daily Update IvyDB Canada is updated daily to incorporate new end-of-day prices in all the equity and option exchanges we follow. A daily patch file is also provided which contains corrections to previous prices or calculations when needed. Your IvyDB database is always current and ready to use. Customer Support OptionMetrics clients receive dedicated support and expert guidance from day one. We provide step-by-step installation guides as well as in-depth reference manuals for your day-to-day use. Should you have any questions, our support team is available during working hours (Eastern Time) Monday through Friday; for urgent issues, assistance is available 24x7.

Country Coverage

North America (1)
Canada

History

17 years of historical data

Volume

7,680 Records

Pricing

Free sample available
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
SFTP
Frequency
daily
Format
.txt

Use Cases

Alpha Generation Trading
Portfolio Construction
Quantitative Investing
Risk Modelling

Categories

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Frequently asked questions

What is OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007?

Launched in 2010, IvyDB Canada contains accurate end-of-day prices for options data along with their correctly calculated implied volatilities and greeks. With IvyDB Canada, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on the options markets.

What is OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007 used for?

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

Who can use OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007?

This product is best suited if you’re a Small Business, Medium-sized Business, or Enterprise looking for Stock Market 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 Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007 go?

This Tabular Data has 17 years of historical coverage. It can be delivered on a daily basis.

Which countries does OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007 cover?

This product includes data covering 1 country like Canada. OptionMetrics is headquartered in United States of America.

How much does OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007 cost?

Pricing information for OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007 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 Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007?

Businesses can buy Stock Market Data from OptionMetrics and get the data via SFTP. Depending on your data requirements and subscription budget, OptionMetrics can deliver this product in .txt format.

What is the data quality of OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007?

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This Tabular Data has 3 related products. These alternatives include OptionMetrics IvyDB Asia - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2004, EDI Global End of Day/Closing Price Data for Derivatives Futures Price Data, Options Price Data Worldwide Exchanges History/Time Series avail., and OptionMetrics IvyDB Europe - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2002. You can compare the best Stock Market Data providers and products via Datarade’s data marketplace and get the right data for your use case.

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