Wharton adds options data to online research tool

OptionMetrics claimed its ‘Ivy DB’ database is the first comprehensive source of historical price and implied volatility data for the US equity and index options market. It contains historical price and implied volatility data for all US listed index and equity options from 1996.

Wharton, a specialist business school, is adding the options data to its Wharton Research Data Services (WRDS) system, an online research tool for academics. WRDS combines data from a number of sources, including Standard & Poor's and the New York Stock Exchange. The service is licensed by other business schools around the world.

“Stock options are increasingly popular both as an investment vehicle and as a means to reduce risk,” said Michael Boldin, director of the WRDS project and a fellow of the Wharton Financial Institutions Center. “While the reasons for option trading are well developed at a theoretical level, there are important aspects of real world trading that are not understood and we are confident that the integration of Ivy DB with other WRDS databases will open up new methods for exploring how stock options affect all financial markets.”

Ivy DB includes closing bid and ask option prices, trading volume, open interest and links to historical prices of the underlying instruments. It also provides implied volatilities and option sensitivities – delta, gamma, vega and theta.