IvyDB

IvyDB is the industry standard database for historical options pricing and implied volatility data, operated by OptionMetrics since 1999.

Reviewed by 7wData

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Publisher review

IvyDB is the industry standard database for historical options pricing and implied volatility data, operated by OptionMetrics since 1999. The flagship IvyDB US product provides end-of-day option prices dating back to January 1996 for all US exchange-traded equity and index options (including ETFs and ADRs), alongside calculated implied volatilities, Greeks (delta, gamma, vega, theta), and supporting data on interest rates, dividends, and corporate actions. OptionMetrics serves over 300 institutional investors, hedge funds, quant researchers, and academic institutions globally.

Beyond IvyDB US, OptionMetrics offers regional variants: IvyDB Europe (covering major European exchanges since 2002), IvyDB Asia (600+ securities from Asia-Pacific exchanges since 2004), and IvyDB Futures (100+ optionable futures contracts from CME, ICE, and Eurex). Specialized modules include IvyDB ETF for US-listed exchange-traded funds, Signed Volume for intraday trading pressure, Implied Beta for factor exposure, and Implied Dividend for risk-neutral dividend forecasting. IvyDB Intraday (launched August 2025) captures option snapshots at 10 a.m., 2 p.m., and 3:45 p.m.

ET. The data supports backtesting strategies, risk modeling, academic research, and derivative valuation. OptionMetrics does not publicly disclose specific pricing; institutional licensing is typically quoted on demand. Real-world usage spans proprietary trading desks, risk management teams at investment banks, academic finance departments, and quant fund operators evaluating volatility models.

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How it works

  1. 30-Year Historical Options Database

    End-of-day option prices and Greeks for US equities and indices from January 1996 onward, with continuous adjustment for corporate actions.

  2. Multi-Region Coverage

    IvyDB US, Europe, Asia, and Futures variants covering 300+ optionable securities across major global exchanges (NYSE, Eurex, Hong Kong, Tokyo, CME, ICE).

  3. Calculated Implied Volatility and Greeks

    Standardized, vetted calculations of delta, gamma, vega, theta, and constant-maturity volatility surfaces for consistent backtesting.

  4. Supporting Market Data

    Interest rate term structures, dividend histories, corporate action feeds, and ticker/name change tracking for research continuity.

  5. Intraday and Signed Volume Layers

    IvyDB Intraday (3 daily snapshots) and Signed Volume module reveal buy/sell pressure and hourly trading sentiment.

  6. Implied Data Intelligence

    Implied Dividend, Implied Beta, and Woodseer forecasting modules extract forward-looking risk-neutral measures from options pricing.

  7. WRDS and Institutional Access

    Available through Wharton Research Data Services (WRDS) for academic users and via direct institutional subscription for hedge funds and investment banks.

Strengths and trade-offs

Strengths

  • Industry-standard data: 25+ years as the leading provider; used by 300+ institutions for options research and risk management.
  • Comprehensive historical depth: US options data back to 1996; multiple geographies (US, Europe, Asia, Futures) enable global portfolio research.
  • Vetted quality: OptionMetrics applies proprietary filters to flag and correct stale quotes, minimizing garbage-in-garbage-out risk in strategy backtests.

Trade-offs

  • Opaque pricing: OptionMetrics does not publish subscription fees; institutional licensing is negotiated per client, making budget forecasting and competitive shopping difficult.
  • No public real-time feed: IvyDB is end-of-day or intraday (3 snapshots); traders needing sub-second tick data must supplement with exchanges or vendors like Bloomberg.
  • Limited free trial or public documentation: No freemium tier or trial dataset available; academic users must access via WRDS, limiting exploration by independent researchers and startups.

Pricing context

OptionMetrics does not publish pricing tiers for IvyDB. Institutional subscriptions are quoted on demand based on data scope (US only vs. multi-region), frequency (end-of-day vs. intraday), and user seat count. Academic institutions access IvyDB US through Wharton Research Data Services (WRDS) as part of institution-wide subscriptions.

Typical licensing models include annual subscription fees (estimated $10,000–$50,000+ annually for institutional portfolios, but unverified). No freemium, trial, or per-dataset pricing is publicly available.

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Sources

Reporting on this tool draws on these publicly available sources.

  1. optionmetrics.com — IvyDB US coverage, data content (bid/ask, volume, Greeks, dividends), user base (300+ institutions), and 1996 historical start date.
  2. optionmetrics.com — IvyDB product suite (US, Europe, Asia, Futures), Signed Volume, Implied Beta, Implied Dividend, Woodseer Dividend Forecast modules.
  3. wrds-www.wharton.upenn.edu — OptionMetrics partnership with WRDS for academic access to IvyDB, confirming institutional and academic distribution channels.
  4. optionmetrics.com — OptionMetrics founding year (1999), CEO David J. Hait, Ph.D., headquarters in New York City, 25+ years as premier historical options provider.