OptionMetrics updates US options database to address evolving markets

OptionMetrics, an options database and analytics provider for international institutional investors, including quant traders and hedge fund managers, as well as academic researchers, has made significant updates to its IvyDB US options database, offering even greater accuracy across a broader range of data points.

The industry standard for comprehensive historical option pricing, IvyDB US provides clean and reliable historical data on over 10,000 underlying stocks and indices for every day since January 1996. It enables quants, hedge fund managers, and others to back-test trading strategies, evaluate risk models, and perform sophisticated research on derivatives trading.

New updates in IvyDB US 4.0 include:

• Four new fields added to assess stock and indices, including: forward price, the hypothetical delivery price of the underlying asset; a more readily accessible AM and PM settlement indicator, with this information incorporated as part of input in implied volatility calculations; contract size, or the deliverable quantity of financial instruments in the options contract; expiry indicator, indicating whether it is a weekly, monthly, or regular option.

• Data for these four new fields is also now backfilled from January 1, 1996.

• Data corrections in indices, options, and tables are now automatically updated and patched on a weekly basis, ensuring the cleanest data and making information on corrections available.

• The options surface has been extended to include a 10-day maturity curve to create a standardised surface which closely mimics the volatility of weekly contracts and the trend of investors making shorter trades on options.

• Additionally, OptionMetrics expanded the spectrum of new call and put delta grid points–in adding 10, 15, 85, and 90–to include deep in-the-money and deep out-of-the-money implied volatilities for calls and puts. Historical data is also backdated on these to also include the new shorter maturity curve.

• Theta logic has been enhanced by leveraging Black–Scholes PDE (partial differential equation) to calculate theta as a function of the other greeks.
 
Since its launch in 2002, the IvyDB US database has become the industry’s gold standard for historical option prices and implied volatility data. With accurate end-of-day prices for options, along with their correctly calculated implied volatilities and greeks, IvyDB is used by over 300 institutions worldwide.
 
“The introduction of weekly options has created investor demand for a short-term surface,” says OptionMetrics CEO David Hait, PhD. “At OptionMetrics, we are continually looking for ways to improve our technology and products and take into account client feedback. These updates to IvyDB US enable us to deliver the most comprehensive and accurate data set, while providing the shorter-term options activity our clients have been looking for.”