Ivy DB OptionMetrics is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. Ivy DB Option Metrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. With Ivy DB Option Metrics, you'll be able to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment.
Access to this resource is funded by the McCombs School of Business at the University of Texas at Austin.
Ivy DB OptionMetrics contains data on all US exchange- listed and NASDAQ equities and market indices, as well as all US listed index and equity options, starting from January, 1996.
Prices, Adjusted Returns, Dividends, and Corporate Actions
Ivy DB OptionMetrics contains high, low, and close prices for all securities; calculated daily cum- and ex-dividend 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
With each option price quote is stored the option's implied volatility, 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.
An additional set of standardized at-the-money-forward options is constructed via interpolation for each underlying series every day, and implied volatilities are computed at 30, 60, 91, 182, and 365 day expirations (longer expirations are available for some series). With this, one can observe the dynamics of the implied volatility term structure.