OptionMetrics Releases IvyDB US 6.0 and IvyDB ETF 4.0 with Proprietary Methodologies for Faster, More Precise Options Implied Volatilities

Quantitative analysts, risk managers, portfolio managers gain greater accuracy in index option volatilities, IVs, greeks; no IV caps on meme stocks; and fast, flexible fetch and load utility for options data

OptionMetrics Releases IvyDB US 6.0 and IvyDB ETF 4.0 with Proprietary Methodologies for Faster, More Precise Options Implied Volatilities

Hilary McCarthy
Clearpoint Agency

OptionMetrics, the leader in financial data and analytics for institutional investors and academic researchers worldwide, releases IvyDB US 6.0 and IvyDB ETF 4.0. Both datasets include even more accurate options implied volatility (IV) calculations and greeks, enhanced index and single stock volatilities, zero meme stock IV caps, and OptionMetrics’ Genie utility for fast, easy data fetch and load capabilities.

In order to better serve its customers amid economic shifts, the prevalence of meme stocks, and need for highly accurate implied volatility calculations to measure risk, OptionMetrics has significantly enhanced its historical end-of-day options data. IvyDB US, considered the gold-standard in historical options data, covering 10,000+ underlying US stocks and indices from 1996 onward, and its IvyDB ETF subset, now leverage:

  • New Proprietary Implied Lending Fees Methodology – more accurately infers embedded borrow costs in the options market with sophisticated borrow rate calculations that use the relationship between put and call implied volatility spreads (versus put-call parity, relied on by other providers).
  • Improved Index Volatilities – enhances the term structure in option pricing models to produce even more accurate index options vols, implied volatilities, and greeks, and reflection of market conditions. OptionMetrics significantly refines the implied dividend term structure used in its models to reflect varying dividend yield expectations across maturities for greater accuracy, over using uniform dividend yields.
  • Precise Single Stock Volatilities with Implied Borrowing Costs – for even greater accuracy in put-call IV spreads across the entire universe of single stocks. Factoring lending fees into calculations reduces the put/call volatility gap and offers even more accurate volatilities and data on hard-to-borrow securities, especially during periods of market stress or reduced liquidity when borrowing costs play a crucial role in option pricing models.
  • Removal of 300% Implied Volatility Cap – allowing for significant volatility levels experienced by popular retail names and meme stocks with high IVs.
  • New IvyDB Genie – for faster, easier, more flexible fetching and loading of data files. The one-size-fits-all utility is compatible with Windows and Linux, Microsoft SQL Server and PostgreSQL, and ensures versatile, efficient data management across diverse environments.

OptionMetrics CEO David Hait, Ph.D. says, “With increased options volumes, retail trading, heightened market volatility, and ever-changing economic events, institutional investors need the highest quality options data on which to analyze risk and base trading strategies. IvyDB US 6.0 and IvyDB ETF 4.0 offer the most accurate implied volatilities and greeks available to construct trading strategies, analyze earnings and macroeconomic events, and measure and manage risk in volatile, uncertain markets.”

IvyDB US 6.0 and IvyDB ETF 4.0 are currently available. Visit or contact OptionMetrics at info@optionmetrics.com to learn more.

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