OptionMetrics

With 25 years as the premier provider of historical options and implied volatility data, OptionMetrics distributes its options, futures, beta, and dividend forecast databases to leading portfolio managers, traders, and quantitative researchers at 350+ corporate and academic institutions worldwide to construct and test investment strategies, perform empirical research, and assess risk.

Direct from exchanges and exchange-approved data vendors. All data has full legal redistribution rights. Aside from the calculations performed by OptionMetrics to produce volatility surface measurements, no raw data is manipulated or transformed.

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 data includes both daily option pricing information (symbol, date, closing bid and ask quote, volume, and open interest) as well as high, low, and closing prices for the underlying equity or index. IvyDB also provides all interest rate, dividend, and corporate action information for each security, so you can correlate your own option pricing models with calculations.

OptionMetrics also provides coverage on European, Asian/Pacific, and Canadian equity exchanges. IvyDB Futures covers over 30 of the most liquid optionable US exchange-traded futures in six sectors. IvyDB Beta provides betas for the top 500 SPY constituent securities listed in the U.S. starting from January 2007 onwards.

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.

Additionally, OptionMetrics provides real-time Dividend Forecast Data with GenAI with algorithm+analyst+ai methodology for trading, back-testing dividend strategies, risk management and anticipating portfolio income.

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.