OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, has released its new IvyDB Signed Volume 2.0 dataset.
The dataset now provides even more data on daily option market order flows and buy/sell pressure, and offers insights on retail trading to help quants, hedge fund managers, and other institutional investors improve trading strategy and research.
OptionMetrics IvyDB Signed Volume 2.0 now offers a full five years of history on buy/sell pressure, starting from January 2016, on over 10,000 underlying stocks and indices and is updated nightly. It tracks daily US options trading volume indicating whether trades occurred at bid, ask, or midpoint. It also provides expanded data points on lower option trade counts, characteristic of retail investors, to help distinguish trading activity.
“As we’ve seen with GameStop and others, retail options trading is on the rise, and institutional investors are increasingly looking to consider their influence on options and the markets,” says OptionMetrics CEO David Hait, PhD. “IvyDB Signed Volume offers the cleanest, most reliable daily options data, aggregated over a full five years, to rapidly and accurately assess models and strategies.”
An add-on to OptionMetrics’ flagship IvyDB US, IvyDB Signed Volume can be used to assess tail hedging, performance of single name securities, and sentiment prior to corporate announcements, such as earnings. With option demand theory suggesting that excess demand for put options often precedes higher volatility, it might also be used to assess market swings–as OptionMetrics’ Head Quant Garrett DeSimone wrote in his blog on put/call demand ratio.
“While the put/call ratio has become a staple technical indicator in the options market, the lumping together of bearish buy and bullish sell orders can make it ambiguous,” says DeSimone. “With IvyDB Signed Volume, portfolio managers, equity options traders, and quantitative researchers can gain greater insights into directional buying to more accurately assess opportunities and risk.”
