|
|
|
|
|
|
|
| October 18, 2006 |
|
OptionMetrics Announces Historical Option Data Product for European Markets |
|
| « Back to News |
|
New York, NY – October 18, 2006
OptionMetrics LLC today announced the release of Ivy DB Europe™, the first historical option pricing and implied volatility data
source developed specifically for the European listed options markets.
“The increasing use of European equity and index options by our customers, primarily proprietary traders and hedge funds, has
underscored the need for high-quality implied volatility and pricing data for the European equity and option markets,” said David
Hait, President of OptionMetrics. “Customers who aim to identify a broader range of mispricings in the options, credit, and
convertibles markets and capture new trading opportunities now can rely on a European version of the same high-quality
research data that can be found in the original Ivy DB product.”
Ivy DB Europe will give traders access to more than four years of high-quality European equity and index option price data and
implied volatility calculations. A key feature of the product is its implied volatility surface file, which contains historical standardized
implied volatilities for each underlying equity and index, using constant expiration and moneyness parameters.
“There is a need for a comprehensive industry source for historical options prices and implied volatility calculations for the major
European equity derivative markets,” said Richard Gee of Bear Stearns. “OptionMetrics has a history of providing us with reliable
data for the US markets, and we look forward to integrating their European database as well.”
According to Cristophe Lepitre, of ADI Alternative Investments, “Some possible applications of quality European implied volatilities
include the valuation of convertible bonds and variance swaps. Implied volatility is also much better than historical volatility in the
calibration of multi-factor models.”
Ivy DB Europe now joins Ivy DB as part of the OptionMetrics research data product line. 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.
It contains accurate historical prices - dating back to January 1996 - of options and their associated underlying instruments,
correctly calculated implied volatilities, and option sensitivities. Customers, who include broker/dealers, hedge funds, and
proprietary trading firms, can use the product to back-test trading strategies, evaluate risk/return models, and perform
sophisticated research on all aspects of options investment.
OptionMetrics, LLC is a financial research and consulting firm specializing in the econometric analysis of the options markets.
It provides unique solutions to clients in the financial services industry by leveraging its core expertise in the options markets,
econometrics, and technology.
|
|
|
|
|
|
|
|
