OptionMetrics, an options database and analytics provider for international institutional investors and academic researchers, launched its new IvyDB Signed Volume dataset at Europe EQD 2020 in Barcelona. OptionMetrics IvyDB Signed Volume is an add-on to OptionMetrics’ popular IvyDB US. It delivers daily updates to option market order flows, participant activity, and buy/sell pressure on options markets to improve trading strategy and research. The database contains daily US options trading data on over 10,000 underlying stocks and indices since March 2018.
IvyDB Signed Volume tracks daily US option trading volume, whether trades occurred at bid, ask, or midpoint, and if they were buyer-initiated or seller-initiated based on trade price and bid-ask quote at time of trade. All trade data is aggregated and updated nightly. This enables users to assess the influence of demand on the implied volatility (IV) skew in index options, understand tail hedging strategies, assess performance of single name securities, and see directional trading prior to major corporate announcements such as earnings, and more.
“In the past, quantifying demand hasn’t been straightforward. Standard option volume numbers are not fully reflective of option demand because it’s unclear whether volume was initiated by the buyer or seller. IvyDB Signed Volume bridges this gap,” says OptionMetrics CEO David Hait, Ph.D. “The dataset utilizes the Lee and Ready algorithm (1991) where direction is inferred by identifying where trades occurred in relation to the spread. Trades closer to the current ask price are treated as buy orders, and those closer to the current bid as sell orders. Access to this data is a gamechanger for quants and academics.”
Since 2002, IvyDB US has been the gold-standard for historical option prices and implied volatility data. It contains a complete historical record of end-of-day data on all US exchange-traded equity and index options from January 1996 onward, enabling quants, hedge fund managers, and others to back-test trading strategies, evaluate risk models, and perform sophisticated research on derivatives trading. IvyDB is used by over 300 institutions worldwide. IvyDB Signed Volume will enable them to take options research to the next level.
