Over 900 securities (equities and indices) from UK, French, German, Swiss, Dutch, Belgian, Spanish and Italian exchanges

Historical data starts from 2002

Options

Strike, expiration, Call/Put, currency, exchange, bid/ask/last prices, volume, open interest, implied volatility and greeks, underlying security

High/low/open/close prices, total return

Distributions

Dividends, splits, projected dividend dates and rates

Zero Curve

DELIVERY

Ivy DB is arranged as a set of flat files, organized in a relational structure.

Easily incorporated into a DBMS (i.e. SQL server, Oracle, Sybase).

Nightly downloads via FTP.

VOLATILITY SURFACE

The volatility surface file contains the interpolated volatility surface for each security on each day for each available currency,

using a methodology based on a kernel smoothing algorithm.

Information on both call and put standardized options

Expirations: 30, 60, 91, 122, 152, 182, 273, 365, 547, and 730 calendar days

Deltas: 0.20, 0.25, 0.30, 0.35, 0.40, 0.45, 0.50, 0.55, 0.60, 0.65, 0.70, 0.75, and 0.80 (negative deltas for puts).

A standardized option is included only if there exists enough option price data on that date to accurately interpolate the required values.

CALCULATIONS

Equity options dividends. Discrete dividend payment dates, interim and final dividend yields. Dividend projections are

made using proprietary predictive algorithm based on distributions history.

Index dividends. IV calculations assume that index pays dividends continuously, according to a continuously-compounded

dividend yield. A put-call parity relationship is assumed.

The daily interest rate curve is calculated from a collection of continuously-compounded zero-coupon interest rates

at various maturities for various currencies, collectively referred to as the zero curve.

American-style options are priced using a proprietary pricing algorithm that is based on the industry-standard

Cox-Ross-Rubinstein.

European-style options are priced according to the Black-Scholes model.

To find out more about how Ivy DB Europe can work for you, please ask to speak to a sales representative at (212) 707-8370. or send an email to info@optionmetrics.com.