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Home/Financial Data/Fund Data/ETF Data/
IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data,...
IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Mar...
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IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market Data, Historical Option Prices and Implied Volatility Data Since 1996 product image in hero

IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market Data, Historical Option Prices and Implied Volatility Data Since 1996

OptionMetrics
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Delta
Gamma
Theta
Vega
Implied Volatility
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Request Data Sample
Volume
267K
Records
Avail. Format
.txt
File
Coverage
1
Country
History
28
years

Data Dictionary

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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market Data, Historical Option Prices and Implied Volatility Data Since 1996 cost?

Pricing information for IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market 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 IvyDB US- ETF Data, ETF Data, Derivatives Data, Options Price Data, Stock Market Data, Historical Option Prices and Implied Volatility Data Since 1996?

This product has 3 related products. These alternatives include IvyDB Canada - Historical and EOD Options Data, Options Data, Implied Volatility Data, Derivatives Data, Stock Market Data Since 2007, Global End of Day/Closing Price Data for Derivatives Futures Price Data, Options Price Data History/Time Series Derivatives Data, and Global ETF Market Data Equity Market Data 9K ETF 30 pricing sources. 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

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