OptionMetrics announces IvyDB Europe 3.0 with extended volatility surface for pricing weekly options and popular trading strategies

NEW YORK–(COMMERCIAL THREAD) –OptionMetrics, an options database and analytics provider for institutional investors and academic researchers around the world, publishes OptionMetrics IvyDB Europe 3.0. The update offers new features for institutional and academic investors to assess extreme volatility and complex trading strategies. The main advances include extending the volatility surface for the underlying securities and increasing the calculated maximum implied volatility of the option.

One of the most important updates to IvyDB Europe 3.0 is the expansion of the volatility surface to include a 10 day maturity curve as well as a new call and set the delta grid points to 10, 15, 85 and 90 (extending the curve to 10-90 from 20-80). The extended surface allows institutional investors to see more points deep in and out of money when evaluating short- and long-term strategies, such as those surrounding high volatility, memes stocks and weekly options.

In addition, the maximum implied volatility threshold has been raised to 900% to allow investors to identify extremely volatile options and high-priced premiums, such as Nokia and other European stocks reaching over 800% at most. strong of their commercial frenzy this year. . Options with extremely high volatility are intentionally excluded from the volatility surface calculations.

OptionMetrics also makes the calculation of volatility prices and pattern changes consistent with those of IvyDB US 5.0 for even easier comparison between databases. Specific updates include:

  • More option contract specification data, with the addition of AM settlement, contract size and expiration indicator fields in the option price and option price tables, allowing users easily view contract specifications in one place.

  • More sophisticated mapping of option identifiers / prices for trading securities on multiple stock exchanges or in more than one currency.

  • Improved data quality, with historical fixes and recalculations based on the above.

“With our most recent version of IvyDB Europe, we continue to expand our mission of providing the most accurate, high-quality options data to meet the evolving needs of our customers. IvyDB Europe 3.0 thoughtfully takes into account the complexities of European options and trading and also expands the amount of analysis provided to universities and institutional investors to assess short and long term opportunities in evolving markets ”, a declared CEO of OptionMetrics David Hait, Ph.D.

IvyDB Europe covers over 972 option titles, from all major European stock exchanges including UK, France, Germany, Switzerland, Netherlands, Sweden, Belgium, Spain and Italy. Historical data and daily updates are available for most securities since January 2002. In addition to daily option price information, it includes dividend projections and historical distributions and transactions, such as spinoffs. , mergers and name changes.

OptionMetrics also has databases for US, Asia-Pacific, Canada, Global Indices, and Futures.

Email info@optionmetrics.com for more details.

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