[SAMPLE] OptionMetrics IvyDB US - ETF Data, Historical Option Prices and Implied Volatility 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.

搜集汇总

背景与挑战

背景概述

该数据集提供1996年至今美国ETF及股票期权的完整历史数据，包含期权价格、隐含波动率、衍生品指标及标的证券信息，支持自动调整公司行动和每日更新。其精确计算的波动率曲面和期权敏感度指标，为量化策略开发和定价模型验证提供全面支持。