[SAMPLE] OptionMetrics IvyDB Global Indices - Historical Option Price Data and Implied ...

IvyDB GI provides the last traded prices or last available bid and ask quotes for each option, every day, ensuring comprehensive options price data and trading data. We time-synchronize those prices with the security price for accurate implied volatility and greeks calculations, enhancing the reliability of our derivatives data and options data. We also publish daily settlement prices and their implied volatilities, offering essential indices data for tracking market movements.

In addition to options price data and trading data, IvyDB GI provides information on historical distributions and corporate actions such as dividend payments, splits, mergers, and name changes, ensuring comprehensive derivatives data and indices data for thorough analysis. Our own dividend projections ensure reliable inputs into our models, supporting accurate options data and derivatives data calculations. IvyDB GI is your trusted source for options data, derivatives data, and indices data, facilitating informed decision-making and strategic analysis in the financial markets.

Coverage:
• US: DJI, EEM, EFA, MXEF, NASDAQ, S&P 100/500, RUSSELL 2000, VIX
• Europe: AEX, BEL, CAC 40, DAX, DJGTE, EUROSTOXX 50, FTSE 100,
IBEX, MIB, OMEM, OMX, OMXS30, SMI, STOXX 50/600, VSTOXX
• Asia: HANG SENG, HSCE, KOSPI 200, NIKKEI, S&P 200 AU, TAIEX, TOPIX
• Canada: S&P 60, XIU

Effortless software integration
Arranged as a set of flat text files, organized in a relational structure
• Easily incorporated into database management systems such as
Microsoft SQL Server
• Nightly downloads of zipped files via FTP
• Corrections issued through patches

Smoothed daily volatility surfaces
In addition to the daily implied volatility values for each listed option,
we also publish a smoothed and int erpolated volatility surface
for each security, each available currency, every day. You may now
directly compute skew, term structure, and correlations.
• Expirations: 10, 30, 60, 91, 122, 152, 182, 273, 365, 547, and 730
calendar days
• Deltas: 0.10, 0.15, 0.20, 0.25, 0.30, 0.35, 0.40, 0.45, 0.50, 0.55, 0.60,
0.65, 0.70, 0.75, 0.80, 0.85, 0.90 (negative deltas for puts)
• Implied strikes and premium

搜集汇总

背景与挑战

背景概述

该数据集提供全球主要指数的历史期权交易数据、隐含波动率及衍生品计算指标，涵盖价格同步、公司行为记录和波动率曲面等关键信息。数据以结构化文本文件形式组织，支持多地区指数分析并便于数据库系统集成。