OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996 product image in hero

OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996

OptionMetrics
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securityid
date
expirationdate
days
borrowrate
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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
expiration
amsettlement
forwardprice
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securityid
date
days
volatility
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securityid
dividendconvention
exercisestyle
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securityid
date
symbol
symbolflag
strike
expiration
callput
bestbid
bestoffer
lasttradedate
volume
openinterest
specialsettlement
impliedvolatility
delta
gamma
vega
theta
optionid
adjustmentfactor
amsettlement
contractsize
expiryindicator
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securityid
date
callput
volume
openinterest
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3 xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx
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securityid
cusip
ticker
sic
indexflag
exchangeflags
class
issuetype
industrygroup
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2 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx xxxxxxxxxx xxxxxx
3 Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx
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securityid
date
cusip
ticker
class
issuerdescription
issuedescription
sic
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx
2 Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx Xxxxx
3 xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx xxxxx xxxxxxxx
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... xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx
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#
securityid
date
bidlow
askhigh
closeprice
volume
totalreturn
adjustmentfactor
openprice
sharesoutstanding
adjustmentfactor2
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx
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10 xxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx xxxxxxxx xxxxxx Xxxxxxxxxx xxxxxxxxxx Xxxxx
... xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxxx xxxxxxxxxx Xxxxxx xxxxxxxxx Xxxxx xxxxx xxxxxxxxx
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#
securityid
date
days
borrowrate
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2 Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx
3 Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
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10 xxxxxx xxxxxxx xxxxxxx Xxxxx
... xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx
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
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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
impliedvolatility
impliedstrike
impliedpremium
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
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date
days
rate
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5 xxxxxxxxx Xxxxxxx xxxxxx
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Sign In To Preview Data
Volume
267K
Records
Avail. Format
.txt
File
Coverage
1
Country
History
28
years

Data Dictionary

[Sample] Borrow_Rate.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
expirationdate
String 6/28/2024
days
Integer 1
borrowrate
Float -99.99
[Sample] Distribution.csv
Attribute Type Example Mapping
securityid
Integer 101594
recorddate
String 11/15/2012
sequencenumber
Integer 1
exdate
String 1/1/1900
amount
Integer 0
adjustmentfactor
Integer 1
declaredate
String 9/28/2012
paymentdate
String 11/15/2012
linksecurityid
Integer 0
distributiontype
Integer 1
frequency
Integer 3
currency
String USD
approximateflag
Integer 0
cancelflag
Integer 1
liquidationflag
Integer 0
[Sample] Forward_Price.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
expiration
String 6/28/2024
amsettlement
Integer 0
forwardprice
Float 214.131716
[Sample] Historical_Volatility.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
days
Integer 10
volatility
Float 0.217102
[Sample] Option_Info.csv
Attribute Type Example Mapping
securityid
Integer 101594
dividendconvention
String
exercisestyle
String A
[Sample] Option_Price.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
symbol
String AAPL 240628C100000
symbolflag
Integer 1
strike
Integer 100000
expiration
String 6/28/2024
callput
String C
bestbid
Float 112.95
bestoffer
Float 114.45
lasttradedate
String 6/21/2024
volume
Integer 0
openinterest
Integer 14
specialsettlement
Integer 0
impliedvolatility
Float -99.99
delta
Float -99.99
gamma
Float -99.99
vega
Float -99.99
theta
Float -99.99
optionid
Integer 161798899
adjustmentfactor
Integer 1
amsettlement
Integer 0
contractsize
Integer 100
expiryindicator
String w
[Sample] Option_Volume.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
callput
String
volume
Integer 927746
openinterest
Integer 6698880
[Sample] Security.csv
Attribute Type Example Mapping
securityid
Integer 101594
cusip
Integer 3783310
ticker
String AAPL
sic
Integer 3571
indexflag
Integer 0
exchangeflags
Integer 4
class
String
issuetype
Integer 0
industrygroup
String NULL
[Sample] Security_Name.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 1/2/1996
cusip
Integer 3783310
ticker
String AAPL
class
String
issuerdescription
String APPLE COMPUTER INC
issuedescription
String COM
sic
String
[Sample] Security_Price.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
bidlow
Float 212.35
askhigh
Float 215.7395
closeprice
Float 214.1
volume
Integer 49772707
totalreturn
Float 0.003986
adjustmentfactor
Integer 112
openprice
Float 214.69
sharesoutstanding
Integer 15334100
adjustmentfactor2
Float 132.4865
[Sample] Std_Borrow_Rate.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
days
Integer 10
borrowrate
Float 0.01232844
[Sample] Std_Option_Price.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
days
Integer 10
forwardprice
Float 214.3449
strike
Float 214.3449
callput
String C
premium
Float 2.668516
impliedvolatility
Float 0.188812
delta
Float 0.506059
gamma
Float 0.059575
theta
Float -53.05355
vega
Float 14.13247
[Sample] Volatility_Surface.csv
Attribute Type Example Mapping
securityid
Integer 101594
date
String 6/27/2024
days
Integer 10
delta
Integer -90
callput
String P
impliedvolatility
Float 0.439096
impliedstrike
Float 235.3374
impliedpremium
Float 21.81214
dispersion
Float 0.213561
[Sample] Zero_Curve.csv
Attribute Type Example Mapping
date
String 6/27/2024
days
Integer 10
rate
Float 5.405493
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

IvyDB US provides a complete historical record of end-of-day data for all US exchange-traded equity and index options (including options on ETFs and ADRs) from January 1996 onward, encompassing detailed option data.
Comprehensive Coverage IvyDB US contains a complete historical record of end-of-day data on all US exchange-traded equity and index options (including options on ETFs and ADRs) from January 1996 onward. The dataset includes comprehensive ETF data, implied volatility data, options price data (such as symbol, date, closing bid and ask quotes, volume, and open interest), and high, low, and closing prices for the underlying equity or index. It also provides stock market data, derivatives data, interest rate, dividend, and corporate action information for each security, facilitating correlation with custom option pricing models and calculations. With IvyDB US, investors gain access to detailed ETF data, implied volatility data, options price data, derivatives data, and stock market data, enabling thorough analysis and informed decision-making based on comprehensive financial data. This dataset supports accurate options price data, derivatives data, and stock market data analysis, ensuring reliable insights for developing and validating custom option pricing models and strategies. 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 Updates IvyDB US 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)
United States of America

History

28 years of historical data

Volume

267,000 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 US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996?

IvyDB US provides a complete historical record of end-of-day data for all US exchange-traded equity and index options (including options on ETFs and ADRs) from January 1996 onward, encompassing detailed option data.

What is OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996 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 US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996?

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 US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996 go?

This product has 28 years of historical coverage. It can be delivered on a daily basis.

Which countries does OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996 cover?

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

How much does OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996 cost?

Pricing information for OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996 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 US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996?

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 US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996?

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

What are similar products to OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996?

This product has 3 related products. These alternatives include OptionMetrics IvyDB Canada - Historical and EOD Options Data, Prices and Implied Volatility Data Since 2007, EDI Swaption Volatility Data Credit Default Swaps (CDS) Data Interest Rate Volatility Data for Valuations, Portfolio Analytics & Risk Management, and TagX - ETF Data Realtime & Historic Data Global End of Day/Closing ETF Data Mutual Funds Data. 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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