OptionMetrics Announces Premier Historical U.S. Futures Data for Research on Markets, Risk

Historical data for listed U.S. futures options markets enables academic researchers and investment professionals to backtest strategies and evaluate opportunities

NEW YORK--(BUSINESS WIRE)--OptionMetrics, an options database and analytics provider for institutional investors and academic researchers worldwide, releases its new IvyDB Futures database with historical futures and futures option pricing data for listed U.S. markets.

IvyDB Futures offers clean historical data since January 2005 on most liquid optionable futures roots in agriculture, currency, energy, equity, interest rate, and metals sectors from major U.S. futures exchanges, including ICE, CME, and NYMEX. Data is provided daily to reflect updated information such as new settlement prices, volume, open interest and contract expirations. This enables academic and financial industry researchers and practitioners to efficiently backtest strategies, evaluate opportunities, and measure risk.

IvyDB Futures builds on OptionMetrics’ heritage of providing the most comprehensive historical financial data available. Its flagship IvyDB US database offers complete end-of-day data on all U.S. exchange-traded equity and index options since January 1996, with data also available for Asia-Pacific, Europe, and Canada.

“With over 20 years as a premier provider of historical options and implied volatility data, we are excited to expand and also offer historical data for U.S. futures options markets,” said OptionMetrics CEO David Hait, Ph.D. “IvyDB Futures is another example of our team’s focus and continued commitment to providing the cleanest, highest quality data. We look forward to providing portfolio managers, futures trading companies, banks, other institutional investors, and academic researchers with the data they need to evaluate risk and perform sophisticated research.”

Specific features include:

• Settlement prices for each strike and expiration, plus underlying prices
• Historical futures options contract information including strike multipliers
• Volume and open interest for each option
• Unique security IDs for easy back-testing
• Daily zero curves

IvyDB Futures keeps track of changes in strike multipliers and contract exchange codes, and provides a view for users to easily see when strike multipliers change. Data is packaged by sectors, enabling customers to purchase just those they need.

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About OptionMetrics

With over 20 years as the premier provider of historical options and implied volatility data, OptionMetrics distributes its IvyDB databases to leading portfolio managers, traders, and quantitative researchers at corporate and academic institutions worldwide. Used to construct and test investment strategies, perform empirical research, and accurately assess risk, IvyDB provides comprehensive coverage of the equity, index, futures, and ETF options markets in the U.S., as well as Europe, Asia-Pacific, and Canada. Its IvyDB Futures offers settlement price data on 34 of the most liquid US futures, beginning as early as 2005, and includes underlying futures and futures option settlement prices. www.optionmetrics.com, LinkedIn, Twitter, Facebook.