OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007 product image in hero

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

OptionMetrics
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SecurityID
RecordDate
SequenceNumber
ExDate
Amount
AdjustmentFactor
DeclareDate
PaymentDate
LinkSecurityID
DistributionType
Frequency
Currency
ApproximateFlag
CancelFlag
LiquidationFlag
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SecurityID
Date
SequenceNumber
Status
Exchange
AddDelete
ExchangeFlags
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SecurityID
Date
Expiration
AMSettlement
ForwardPrice
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SecurityID
Date
Days
Volatility
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SecurityID
DividendConvention
ExerciseStyle
AMSettlementFlag
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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
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SecurityID
Date
CallPut
Volume
OpenInterest
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SecurityID
CUSIP
Ticker
SIC
IndexFlag
ExchangeFlags
Class
IssueType
IndustryGroup
Suffix
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SecurityID
Date
CUSIP
Ticker
Class
IssuerDescription
IssueDescription
SIC
Suffix
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Sign In To Preview Data
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SecurityID
Date
BidLow
AskHigh
ClosePrice
Volume
TotalReturn
AdjustmentFactor
OpenPrice
SharesOutstanding
AdjustmentFactor2
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Sign In To Preview Data
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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
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... xxxxxxxxx xxxxxxx Xxxxxxxxx Xxxxxxx xxxxxxxxxx Xxxxx xxxxxxxxx xxxxxxx Xxxxxx xxxxxxxxx xxxxx Xxxxxxx
Sign In To Preview Data
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SecurityID
Date
Days
Delta
CallPut
ImpliedVol
Strike
Premium
Dispersion
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2 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx
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Date
Days
Rate
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Sign In To Preview Data
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
Decimal AAPL Stock Ticker
Decimal AAPL Stock Ticker
Decimal AAPL Stock Ticker
Decimal AAPL Stock Ticker
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

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 product 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?

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

What are similar products to OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007?

This product 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 Cyrpto Derivatives Data - Kaiko Market Data. 10+ Exchanges Globally 260K+ Futures, Options & Contracts Prices Volumes Trades Defi & Cefi. 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.

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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