After the market closed on Tuesday, OptionMetrics announced the launch of IvyDB US – Intraday, a dataset providing institutional investors, hedge funds and academic researchers with snapshots of U.S. equity and index options throughout the trading day.
OptionMetrics Launches IvyDB US – Intraday for Equity and 0DTE Options Analysis
Building on the firm’s established IvyDB US historical database, IvyDB US – Intraday delivers snapshots at 10 a.m., 2 p.m. and 3:45 p.m. Eastern Time.
These include options prices, implied volatilities, underlying prices, dividend yields, borrow rates and zero curves.
The dataset is also said to capture 0DTE (zero days to expiration) options, whose volatility patterns and gamma sensitivity have grown increasingly relevant to traders. Historical coverage begins in 2018.
“The frequency of equity and index trading has increased dramatically. Markets are deeper, more liquid, more responsive to intraday news, and investors are trading across a wider range of securities,” said Eran Steinberg, Chief Operating Officer and Chief of Staff at OptionMetrics. “IvyDB US – Intraday capitalises on the highest quality data that OptionMetrics has become known for.”
According to the company, IvyDB US – Intraday can be used to analyse trading around risk events such as Federal Reserve announcements, earnings releases and corporate actions.
It also enables backtesting of intraday strategies, model evaluation and monitoring of dividend projections.
The new product can be integrated with IvyDB US, which provides end-of-day options data dating back to 1996, or used as a standalone dataset.
