OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, has released OptionMetrics IvyDB Canada 3.0 with comprehensive historical price, implied volatility (IV), and sensitivity data on optionable securities across Canadian indices and equity options.
Major upgrades to the database include extension of the volatility surface to better assess shorter- and longer-term strategies, and the addition of a forward price table to calculate option values at different maturities.
OptionMetrics adds 10 days and additional delta values of 10, 15, 85, and 90 (negative for puts) to grid points in its volatility surface. This update allows users to see estimates of IV and options pricing for shorter-term options such as weeklies, plus deltas for out-of-the-money and very deep-in-the-money trades.
A new forward price table enables investors to assess future discounted prices with anticipated delivery prices of underlying assets.
With these updates, OptionMetrics refreshes calculations of dividend projections, IV, and greeks. Updates are consistent with those in OptionMetrics’ US, Europe, and Asia-Pacific databases, enabling data to be more easily compared.
The release comes as interest in Canadian options continues to rise, with OptionMetrics data showing 14 per cent year-on-year average daily option trading volume growth from 2019 to 2021 and 24 per cent from 2020 to 2021.
“Canadian option trading volume continues to grow with increased interest in derivatives exposure,” says OptionMetrics CEO David Hait, PhD. “At OptionMetrics, we work to provide the highest quality, most comprehensive data to enable institutional investors, traders, and academia to evaluate risk, test trading strategies, and perform sophisticated research. Recent updates in IvyDB Canada 3.0 are just one example of why OptionMetrics has become the gold standard in historical options data.”
IvyDB Canada provides the historical price, IV, and sensitivity information from 2007 to present for about 600 optionable securities. Data is updated nightly to reflect new closing prices, dividend payments, corporate actions, option contract expirations, listings, and other changes.
