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Ivy DB US:
The premier source for historical option implied volatility data
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Ivy DB is the first widely-available, comprehensive source of high-quality historical
price and implied volatility data for the US equity and index options markets. Ivy DB
is available to banks, institutions, hedge funds, universities, and other organizations.
Encompassing twelve years of data, Ivy DB contains accurate historical prices of
options and their associated underlying instruments, correctly calculated implied
volatilities, and option sensitivities.
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» Comprehensive Coverage
» Prices, Adjusted Returns, Dividends and Corporate Actions
» Implied Volatility and Sensitivities
» Option Price Continuity
» Timely updates
» Volatility Surface
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General
Since its launch in 2002, the Ivy DB database has become the industry standard
for historical option prices and implied volatility information. It is the only
institutional quality database that is both accurate and complete, covering every
US equity and index option every day. The data goes back to January 1996 and
is cleaned and updated daily.
Ivy DB contains accurate end-of-day historical prices for options and their associated
underlying instruments, correctly calculated implied volatilities, and option sensitivities.
With Ivy DB, you'll be able to back-test trading strategies, evaluate risk models,
and perform sophisticated research on all aspects of option investement.
Comprehensive coverage
Ivy DB contains EOD data on all US exchange-listed and NASDAQ equities and market indices, as well as all US listed index and equity options (including ETF and ADR options) starting from January 1996.
Prices, Adjusted Returns, Dividends, and Corporate Actions
Ivy DB contains high, low, and close prices for all securities; calculated daily dividend- and split-adjusted total returns; and best bid, best offer, last trade price, volume, and open interest for options. A complete history of dividend, split, and special payment information, including announcement date, ex-date, payment date, and type
of payment, is available for each security.
Implied Volatility and Sensitivities
Implied volatility is stored with each option price quote. It's calculated using American or European models where appropriate. All option calculations use
historical LIBOR/Eurodollar rates for interest rate inputs and correctly incorporate discrete dividend payments. Standard option sensitivities (delta, gamma, vega/
kappa, and theta) are calculated as well.
Option Price Continuity
Option data is directly linked with the underlying issue data to ensure consistency of the historical series even when option symbols or strike prices change.
Options on a particular underlying can be tracked over the entire range of historical dates regardless of changes to the underlying ticker symbol or CUSIP.
Timely updates
Ivy DB is updated on a nightly basis to reflect new closing prices, dividend payments or other corporate actions, and option contract expirations, new listings,
or changes.
Volatility Surface
An additional set of standardized options is constructed via interpolation for each underlying series every day, and implied volatilities are computed at standardized
deltas between 0.20 and 0.80, with 30, 60, 91, 152, 182, and 365 day expirations (longer expirations are available for some series). Now you can directly observe
the dynamics of the entire implied volatility surface!
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To find out more about how Ivy DB 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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