OptionMetrics is the premier provider of historical options data for use in empirical research and econometric studies. Quantitative researchers and financial professionals leverage OptionMetrics data for purposes such as analyzing market movement before mergers and acquisitions; exploring the relationship between option prices and daily stock return serial correlation; and investigating possible cases of insider trading.
OptionMetrics’ IvyDB US is a comprehensive source of historical price and implied volatility data for the US equity and index options markets. IvyDB US contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities. Subscribers can use IvyDB US to backtest trading strategies, evaluate risk models, and perform research on all aspects of options investment.
Access method: Access is provided through the .
Concept： Derivatives/ Options
Region： North America
Available content via WRDS：
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