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Home/Financial Data/Fund Data/ETF Data/
OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Imp...
OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volat...
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OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility Data Since 1996

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Data Samples
Borrow_Rate.csv Distribution.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_Borrow_Rate.csv Std_Option_Price.csv Volatility_Surface.csv Zero_Curve.csv
#
securityid
date
expirationdate
days
borrowrate
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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9 xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx
10 Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx
... xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx
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#
securityid
recorddate
sequencenumber
exdate
amount
adjustmentfactor
declaredate
paymentdate
linksecurityid
distributiontype
frequency
currency
approximateflag
cancelflag
liquidationflag
1 xxxxxxxxxx Xxxxxxxxx xxxxxx xxxxxxxxxx Xxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxx
2 Xxxxx xxxxxxxxxx xxxxxx Xxxxxxxxxx xxxxxx Xxxxx Xxxxxx xxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx
3 xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx
4 Xxxxxxx xxxxxx Xxxxxxxx Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx
5 Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx xxxxxxxxx Xxxxx xxxxxxxx
6 Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx
7 Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx xxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx
8 xxxxxxxx xxxxxx Xxxxxxxxxx xxxxxxxxxx Xxxxx xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxxx xxxxxxxxxx Xxxxxx xxxxxxxxx Xxxxx xxxxx
9 xxxxxxxxx xxxxxxx Xxxxxxxxx Xxxxxxx xxxxxxxxxx Xxxxx xxxxxxxxx xxxxxxx Xxxxxx xxxxxxxxx xxxxx Xxxxxxx xxxxxxxxx Xxxxxxxx xxxxxxxx
10 Xxxxxxxx Xxxxxxxx xxxxxxxx xxxxxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxx xxxxx Xxxxxxxxxx xxxxxxxxxx xxxxxx Xxxxx Xxxxxxx Xxxxx Xxxxxx
... Xxxxx Xxxxxxxxx xxxxxx xxxxxxxx Xxxxxxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxx Xxxxxxx xxxxxxxxx Xxxxx xxxxx Xxxxxx 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
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
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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
6 Xxxxx Xxxxxx xxxxx xxxxxxxx
7 xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx
8 xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx
9 Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx
10 xxxxxx xxxxxxx xxxxxxx Xxxxx
... xxxxxx Xxxxxxxxxx xxxxxxxx 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
Sign In To Preview Data
#
securityid
dividendconvention
exercisestyle
1 xxxxxxxxxx Xxxxxxxxx xxxxxx
2 xxxxxxxxxx Xxxxx Xxxxxx
3 Xxxxxxxxxx Xxxxxx Xxxxxxxxx
4 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
5 xxxxxxxxx Xxxxxxx xxxxxx
6 Xxxxx xxxxxxxxxx xxxxxx
7 Xxxxxxxxxx xxxxxx Xxxxx
8 Xxxxxx xxxxx xxxxxxxx
9 xxxxxxx Xxxxx Xxxxxxxx
10 xxxxxxxxxx xxxxxx Xxxxxxxxx
... xxxxxx Xxxxxxxxx Xxxxxxxxx
Sign In To Preview Data
#
securityid
date
symbol
symbolflag
strike
expiration
callput
bestbid
bestoffer
lasttradedate
volume
openinterest
specialsettlement
impliedvolatility
delta
gamma
vega
theta
optionid
adjustmentfactor
amsettlement
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 xxxxx
2 xxxxxxxx xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx Xxxxxxx
3 xxxxxx Xxxxxxxx Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx Xxxxxxx xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx
4 Xxxxxxx Xxxxxxxxx xxxxxxxxx xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx Xxxxxxxxxx xxxxxx
5 xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx xxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx xxxxx xxxxxxxx xxxxxx Xxxxxxxxxx xxxxxxxxxx Xxxxx xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxxx
6 xxxxxxxxxx Xxxxxx xxxxxxxxx Xxxxx xxxxx xxxxxxxxx xxxxxxx Xxxxxxxxx Xxxxxxx xxxxxxxxxx Xxxxx xxxxxxxxx xxxxxxx Xxxxxx xxxxxxxxx xxxxx Xxxxxxx xxxxxxxxx Xxxxxxxx xxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxx
7 xxxxxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxx xxxxx Xxxxxxxxxx xxxxxxxxxx xxxxxx Xxxxx Xxxxxxx Xxxxx Xxxxxx Xxxxx Xxxxxxxxx xxxxxx xxxxxxxx Xxxxxxxxx Xxxxxx Xxxxxxxxxx Xxxxxx Xxxxx Xxxxxxx xxxxxxxxx
8 Xxxxx xxxxx Xxxxxx xxxxxxxxx xxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxx Xxxxx Xxxxxxxxx xxxxxxxxxx xxxxxx xxxxxxxxx xxxxxxx Xxxxxxx Xxxxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxxx xxxxx Xxxxxxx xxxxxxxxxx
9 Xxxxxxxxx Xxxxxxxx xxxxxxxxxx xxxxxxx Xxxxxxxx xxxxx Xxxxxx xxxxxx xxxxxxxx xxxxxxx Xxxxx Xxxxxxxxx Xxxxx Xxxxxxx Xxxxxxxx xxxxxxxxx xxxxxxxx xxxxx Xxxxxxxxxx Xxxxxxx xxxxxxxxx xxxxxxx xxxxxxxxxx
10 xxxxxx xxxxx Xxxxxxxxxx Xxxxxxxxx xxxxxxx Xxxxxx Xxxxx Xxxxxxxx xxxxxxxxx xxxxxxxx Xxxxxx xxxxxxxxxx xxxxxxxxx xxxxx Xxxxx xxxxxxx xxxxxxxxxx Xxxxxx Xxxxxxxxx xxxxxxx Xxxxxxxx xxxxx xxxxx
... Xxxxxxxxxx Xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxxxxx xxxxxxx Xxxxx xxxxxxxxx xxxxxxxx Xxxxxxxx xxxxxxxx Xxxxxxx Xxxxxx Xxxxxxxxx Xxxxxxxx Xxxxxxxxxx Xxxxxxx Xxxxxx Xxxxxxxxxx
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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
#
securityid
cusip
ticker
sic
indexflag
exchangeflags
class
issuetype
industrygroup
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
8 Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx
9 xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx xxxxxxx
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
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
4 xxxxxxx Xxxxx Xxxxxxxx xxxxxxxxxx xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx
5 Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx xxxxxx xxxxxxx xxxxxxx Xxxxx
6 xxxxxx Xxxxxxxxxx xxxxxxxx xxxxxx Xxxxx Xxxxxxx xxxxxx Xxxxxxxx
7 Xxxxxxx Xxxxx xxxxxx xxxxxxxxxx Xxxxx xxxxxxxxxx xxxxxxxxx Xxxxxxx
8 xxxxxxxx xxxxxxxx Xxxxxxxxxx Xxxxxxxx Xxxxxxxx xxxxxxxxx Xxxxxxxxxx Xxxxxx
9 Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx
10 xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx
... xxxxxxx Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx
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
borrowrate
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
8 xxxxxx Xxxxxxxxx xxxxxx Xxxxxxxxx
9 Xxxxxxxxx xxxxxxxxxx Xxxxxx Xxxxx
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
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
10 xxxxxxxxxx Xxxxx xxxxxxx Xxxxxxxx Xxxxxxx xxxxx xxxxxxxx xxxxxxxxxx Xxxxxx xxxxxxxxx Xxxxx xxxxx
... xxxxxxxxx xxxxxxx Xxxxxxxxx Xxxxxxx xxxxxxxxxx Xxxxx xxxxxxxxx xxxxxxx Xxxxxx xxxxxxxxx xxxxx Xxxxxxx
Sign In To Preview Data
#
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
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
8 Xxxxxx Xxxxxxxxx xxxxx xxxxxxx xxxxxxxxx Xxxxxx Xxxxxxx Xxxxxxxxx xxxxxxxxx
9 xxxxxxxxx Xxxxx xxxxxxxx Xxxxxxx xxxxxxxxx Xxxxxxx xxxxx Xxxxxxx xxxxxxx
10 Xxxxx xxxxxxxxxx Xxxxxxx Xxxxx xxxxxxxxxx Xxxxxx xxxxxx Xxxxxxxxx xxxxx
... Xxxxxxxxxx xxxxxx xxxxx xxxxxxxx Xxxxxx Xxxxxxxxxx xxxxxxxxx Xxxxxxxxxx xxxxxxxx
Sign In To Preview Data
#
date
days
rate
1 xxxxxxxxxx Xxxxxxxxx xxxxxx
2 xxxxxxxxxx Xxxxx Xxxxxx
3 Xxxxxxxxxx Xxxxxx Xxxxxxxxx
4 Xxxxxxxxxx xxxxxxxxx Xxxxxxxxx
5 xxxxxxxxx Xxxxxxx xxxxxx
6 Xxxxx xxxxxxxxxx xxxxxx
7 Xxxxxxxxxx xxxxxx Xxxxx
8 Xxxxxx xxxxx xxxxxxxx
9 xxxxxxx Xxxxx Xxxxxxxx
10 xxxxxxxxxx xxxxxx Xxxxxxxxx
... xxxxxx Xxxxxxxxx Xxxxxxxxx
Sign In To Preview Data
Borrow_Rate.csv Distribution.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_Borrow_Rate.csv Std_Option_Price.csv Volatility_Surface.csv Zero_Curve.csv
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
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

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
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 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.

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OptionMetrics

The Leader in Historical Options Data
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