[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.

全面覆盖
IvyDB US 收录了自1996年1月起，全美所有交易所交易股票及指数期权（含交易型开放式指数基金（Exchange Traded Funds, ETF）、美国存托凭证（American Depositary Receipts, ADR）相关期权）的完整历史收盘数据集。该数据集涵盖全面的ETF数据、隐含波动率（implied volatility）数据、期权价格数据（含合约代码、日期、收盘买卖报价、成交量与持仓量），以及标的股票或指数的最高价、最低价与收盘价。此外，数据集还提供各证券的股票市场数据、衍生品数据、利率、股息及公司行为信息，便于结合自定义期权定价模型开展相关计算与分析。依托IvyDB US，投资者可获取详细的ETF数据、隐含波动率数据、期权价格数据、衍生品数据及股票市场数据，从而基于全面的金融数据开展深入分析并做出明智的投资决策。本数据集可支撑精准的期权价格、衍生品及股票市场数据分析，为自定义期权定价模型与交易策略的开发与验证提供可靠的决策依据。

精准计算
针对每一笔期权报价，我们将计算精准的隐含波动率，并与期权敏感度（德尔塔、伽马、Vega、西塔）一同存储。我们将根据适用场景选用欧式与美式期权定价模型，并正确纳入股息/拆股调整项。此外，我们每日将为各证券计算标准化的固定期限波动率曲面，涵盖多到期期限与按Delta维度划分的行权状态下的插值隐含波动率。您可利用该波动率曲面构建各类复杂度的自定义波动率交易策略。

连续时间序列
本数据库可自动处理标的代码变更、股息派发及拆股/分拆调整事项。我们为每个金融工具分配永久标识符，即便期权代码、行权价格（strike price）或交割标的发生变更，也可轻松实现跨时间维度的追踪。此外，数据集还收录了标的证券名称与交易代码（ticker symbol）的变更记录，方便您查询已退市或已变更交易代码的证券对应的期权合约。

每日更新
IvyDB US每日更新，纳入我们覆盖的所有股票与期权交易所的最新收盘数据。同时，我们将提供每日补丁文件，用于修正前期价格或计算结果的偏差，确保您的IvyDB数据库始终保持最新可用状态。

客户支持
OptionMetrics的客户可自合作伊始便获得专属支持与专家指导。我们提供分步安装指南与适用于日常使用的深度参考手册。若您有任何疑问，我们的支持团队将在东部时间周一至周五的工作时段提供协助；紧急问题可享受全天候7*24小时服务。

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。