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OptionMetrics Announces IvyDB Europe 3.0 with Extended Volatility Surface to Assess Weekly Options and Popular Trading Strategies

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OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, releases OptionMetrics IvyDB Europe 3.0. The update offers new features for institutional investors and academia to assess extreme volatility and complex trading strategies. Major advancements include extension of the volatility surface for underlying securities and the increase in maximum calculated option implied volatility.

One of the biggest updates in IvyDB Europe 3.0 is expansion of the volatility surface to include a 10-day maturity curve along with new call and put delta grid points at 10, 15, 85, and 90 (expanding the curve to 10-90 from 20-80). The extended surface enables institutional investors to see more points deep in the money and deep out of the money as they assess shorter and longer term strategies, such as those surrounding high volatility, meme stocks, and weekly options.

Additionally, the threshold for maximum implied volatility has been increased to 900% to enable investors to identify extremely volatile options and high-priced premiums, with Nokia and other European securities reaching over 800% in the peak of their trading frenzy this year as an example. Options with extremely high volatility are purposely excluded from volatility surface calculations.

OptionMetrics also makes volatility price calculation and schema changes consistent with those in IvyDB US 5.0 for even easier comparison across databases. Specific updates include:

  • More option contract specification data, with the addition of AM settlement, contract size, and expiry indicator fields in option price and tick option price tables, enabling users to conveniently view contract specifications in one place.
  • More sophisticated mapping of option IDs/prices for securities trading on multiple exchanges or in more than one currency.
  • Enhanced data quality, with historical patching and recalculations based on the above.

“With our most recent version of IvyDB Europe, we continue to expand on our mission to provide the most accurate, highest quality options data to address our customers’ evolving needs. IvyDB Europe 3.0 thoughtfully accounts for complexities in European options and exchanges and also expands on the amount of analysis provided for academia and institutional investors to assess shorter and longer term opportunities in the evolving markets,” says OptionMetrics CEO David Hait, Ph.D.

IvyDB Europe covers over 972 optionable securities, from all major European exchanges, including the U.K., France, Germany, Switzerland, Netherlands, Sweden, Belgium, Spain, Italy. Historical data and daily updates are available for most securities since January 2002. In addition to daily option pricing information, it includes dividend projections, and historical distributions and corporate actions, such as splits, mergers, and name changes.

OptionMetrics also has databases for the U.S., Asia-Pacific, Canada, Global Indices, and futures.

Email info@optionmetrics.com for details.

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Contact information

Hilary McCarthy
Clearpoint Agency
774.364.1440
Hilary@clearpointagency.com

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