OptionMetrics’s IvyDB is a comprehensive source of historical price and implied volatility data for the U.S. equity and index options markets. Ivy DB OptionMetrics contains historical prices of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities.
The database is specifically designed for empirical research. Data can be downloaded into a variety of database, spreadsheet, and statistical software packages and this allows for very sophisticated research and analysis on all aspects of options investments including backtesting trading strategies and evaluating risk models.
Data is available from 1996 to present.
IvyDB Option Metrics is accessed through a Wharton Research Data Services (WRDS) account.
Special Note: WRDS accounts will only be generated for current faculty, currently enrolled students (Ph.D., masters, and undergraduate), and selected current staff of UNC-Chapel Hill.
To fill out an on-line account request form go to https://wrds-www.wharton.upenn.edu/ and click on the “Register” tab in the upper right portion of the screen.
UNC-CH users with additional password
https://wrds-www.wharton.upenn.edu/