OptionMetrics IvyDB: option prices, implied vols, and Greeks (licensed)

Licensed: not exercised here

OptionMetrics IvyDB is a paid licensed product (from OptionMetrics, an independent data provider), so it carries no provenance badge: the access path below was not run in this session (no OptionMetrics or WRDS credentials were available). The page documents the access route and the gotchas; treat it as unverified until someone exercises it through a licensed account. This is the honest grade under the institute’s Verified discipline.

OptionMetrics IvyDB US is the standard source for historical US option data: daily closing bid/ask quotes, volume, and open interest for exchange-listed equity and index options, plus OptionMetrics-computed implied volatilities and Greeks (delta, gamma, vega, theta) and a volatility surface (standardized, interpolated implied vols indexed by delta and maturity). Coverage begins in 1996. The option records link to the underlying security prices and to distribution (dividend and split) data, so a pipeline can join options to their underlying. Papers we distill use it for option-pricing work, for example Kruttli, Roth Tran & Watugala on the pricing of extreme-weather and hurricane risk in options.

• Cost: licensed, subscription. No free tier.
• Vendor: OptionMetrics, an independent data provider.
• Coverage: US equity and index options 1996-present (IvyDB US); also IvyDB Global, IvyDB Europe, IvyDB Canada, and futures options are sold as separate products.

Access (when licensed)

• Most commonly through WRDS. Like CRSP, Compustat, and I/B/E/S, IvyDB US is usually reached through WRDS under the OptionMetrics library, with tables such as opprcd (option prices), secprd (security prices), vsurfd (the standardized volatility surface), and the optionm metadata tables. Check whether your institution’s WRDS subscription includes OptionMetrics; it is licensed separately.
• Direct subscription. IvyDB is also available as a direct OptionMetrics subscription (file delivery or API), independent of WRDS.
• Credentials and a licensed seat are required. Keep any credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• Implied vols and Greeks are model output, not market-observed. OptionMetrics computes implied volatility and the Greeks (delta, gamma, vega, theta) from its own pricing model (a binomial / Cox-Ross-Rubinstein tree with OptionMetrics’ dividend and interest-rate assumptions). These fields inherit the model’s assumptions; they are not quoted by the exchange. Do not treat a reported implied vol or delta as a primitive observation.
• The volatility surface is interpolated and smoothed. The vsurfd product gives constant-maturity, fixed-delta implied vols produced by a kernel-smoothed fit across the available options, not raw quotes. Surface points are standardized constructs; do not treat them as tradable prices or as observed quotes for a specific contract.
• Prices are end-of-day snapshot bid/ask, with quality issues. Option records are closing bid/ask quotes (and their midpoint) from a daily snapshot, so they include stale quotes, crossed quotes, and illiquid contracts with a zero bid or a very wide spread. Filter on bid > 0, on spread, on volume, and on open interest before using prices.
• The identifier is OptionMetrics’ secid, which must be linked. Underlying securities are keyed by OptionMetrics’ own secid, not by permno or CUSIP. Use the provided linking table to map secid to CRSP permno / CUSIP rather than assuming a match; tickers are reused and change over time.
• Survivorship and changing coverage. Delisted underlyings and expired contracts are handled by point-in-time records, and exchange coverage (which options classes are included) has changed over the sample. A naive current-universe filter will drop history; check coverage by period.
• Early-sample data revisions and known errors. OptionMetrics has revised historical records, and the early years (late 1990s) have documented data-quality issues and thinner liquidity. Pin the extraction date and treat early-sample illiquid options cautiously.

Reference: the main IvyDB tables/files

Table / file	What it holds
opprcd (option prices)	Daily closing bid/ask, volume, open interest, implied vol, and Greeks per contract
secprd (security prices)	Daily prices and returns for the underlying securities
vsurfd	Standardized, interpolated implied vols by constant maturity and fixed delta
optionm metadata	Security and contract reference data, distributions, and the secid linking table

Each is keyed by secid and date; option records carry contract terms (strike, expiration, call/put) and the optionid.

Citation

Cite the provider and the database, e.g.: OptionMetrics IvyDB US, via WRDS, accessed YYYY-MM-DD. State the library and the exact tables used (for example opprcd, secprd, vsurfd), the date range, and the extraction date.