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Ivy DB Europe:
The premier source for historical option implied volatility data
from European markets
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Ivy DB Europe is a comprehensive database of historical price, implied
volatility, and sensitivity information for the European listed index and
equity options markets. The product has been designed to provide data
of the highest obtainable quality, suitable for empirical and/or econometric
studies of the options markets, development and testing of option trading
strategies, and options research support. Ivy DB Europe data files are
updated nightly to reflect new closing prices, dividend payments or other
corporate actions, and option contract expirations, new listings, or other changes.
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» Coverage
» Data Elements
» Delivery
» Volatility Surface
» Calculations
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COVERAGE
» Over 600 securities (equities and indices) from UK, French, German, Swiss, Dutch, Belgian, Spanish and Italian exchanges
» Historical data starts from 2002
» Daily data is provided by Telekurs Financial
DATA ELEMENTS
» Options
» Strike, expiration, Call/Put, currency, exchange, bid/ask/last prices, volume, open interest, implied volatility and greeks, underlying security
» Underlying Security
» High/low/open/close prices, total return
» Distributions
» Dividends, splits, projected dividend dates and rates
» Zero Curve
DELIVERY
» Ivy DB is arranged as a set of flat files, organized in a relational structure.
» Easily incorporated into a DBMS (i.e. SQL server, Oracle, Sybase).
» Access via MS Excel, MS Access, Crystal Reports, MatLab, or programming language of your choice.
» Nightly downloads via FTP.
VOLATILIY SURFACE
» The volatility Surface file contains the interpolated volatility surface for each security on each day for each available currency,
using a methodology based on a kernel smoothing algorithm.
» Information on both call and put standardized options
» Expirations: 30, 60, 91, 122, 152, 182, 273, 365, 547, and 730 calendar days
» Deltas: 0.20, 0.25, 0.30, 0.35, 0.40, 0.45, 0.50, 0.55, 0.60, 0.65, 0.70, 0.75, and 0.80 (negative deltas for puts).
» A standardized option is included only if there exists enough option price data on that date to accurately interpolate the required values.
CALCULATIONS
» Equity options dividends: Discrete dividend payment dates, interim and final dividend yields. Dividend projections are
made using proprietary predictive algorithm based on distributions history.
» Index dividends: IV calculations assume that index pays dividends continuously, according to a continuously-compounded
dividend yield. A put-call parity relationship is assumed.
» The daily interest rate curve is calculated from a collection of continuously-compounded zero-coupon interest rates
at various maturities for various currencies, collectively referred to as the zero curve.
» American-style options are priced using a proprietary pricing algorithm that is based on the industry-standard
Cox-Ross-Rubinstein.
» European-style options are priced according to the Black-Scholes model.
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To find out more about how Ivy DB Europe can work for you, please ask to speak to a sales representative at (212) 707-8370, or send an email to info@optionmetrics.com.
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