IvyDB Reference 2.5

IvyDB Reference 2.5 - Ivy DB File and Data Reference Manual...

Info iconThis preview shows pages 1–8. Sign up to view the full content.

View Full Document Right Arrow Icon
Ivy DB File and Data Reference Manual Version 2.5 Rev. 5/5/2005
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
The material contained in this document is confidential and proprietary to OptionMetrics LLC. The names “OptionMetrics” and “Ivy DB” are registered trademarks of OptionMetrics LLC. Copyright © 2005 OptionMetrics LLC OptionMetrics LLC 250 West 57 th Street, Suite 624 New York, NY 10107
Background image of page 2
Table of Contents Table of Contents. ................................................................................................................................ iii Chapter 1. Introduction. ...................................................................................................... 1 Chapter 2. File Formats . ..................................................................................................... 3 Security File . ..................................................................................................................................... 3 Security_Name File. ......................................................................................................................... 6 Exchange File. ................................................................................................................................... 8 Distribution File. ............................................................................................................................. 10 Security_Price File. ........................................................................................................................ 12 Option_Info File . ............................................................................................................................ 14 Option_Price File. ........................................................................................................................... 15 Zero_Curve File . ............................................................................................................................. 18 Index_Dividend file. ....................................................................................................................... 19 Std_Option_Price file. .................................................................................................................... 20 Option_Volume file. ........................................................................................................................ 22 Volatility_Surface file . ................................................................................................................... 23 ** Historical_Volatility file. ........................................................................................................... 25 ** Open_Interest file . .................................................................................................................... 26 Chapter 3. Calculations. .................................................................................................... 27 Interest Rates. ................................................................................................................................. 27 Dividends. ........................................................................................................................................ 28 European Options. .......................................................................................................................... 29 American Options. .......................................................................................................................... 30 Standardized Option Prices. .......................................................................................................... 31 Volatility Surface . ........................................................................................................................... 32 Missing Values . ............................................................................................................................... 32 Chapter 4. Appendices. ..................................................................................................... 34 Appendix A: Industry Group Codes. ............................................................................................. 34
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 4
Chapter 1. Introduction Ivy DB is a comprehensive database of historical price, implied volatility, and sensitivity information for the entire US listed index and equity options markets. The product has been designed to provide data of the highest obtainable quality, suitable for empirical and/or econometric studies of the options markets, development and testing of option trading strategies, and options research support. Ivy DB includes approximately ten years of historical data for all US listed equities and market indices and all US listed index and equity options. Ivy DB data files are updated nightly to reflect new closing prices, dividend payments or other corporate actions, and option contract expirations, new listings, or other changes. OptionMetrics compiles the Ivy DB data from raw end-of-day pricing information provided by FT Interactive Data Corporation. This raw data is edited and organized to facilitate its use in options market research. Interest rate curves, dividend projections, and option implied volatilities and sensitivities are calculated by OptionMetrics using our proprietary algorithms, which are based on standard market conventions.
Background image of page 5

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 6
Chapter 2. File Formats The data within Ivy DB is organized in several files: Security file (IVYSECUR.yyyymmddD.txt) Security_Name file (IVYSECNM.yyyymmddD.txt) Exchange file (IVYEXCHG.yyyymmddD.txt) Distribution file (IVYDISTR.yyyymmddD.txt) Security_Price file (IVYSECPR.yyyymmddD.txt) Option_Info file (IVYOPINF.yyymmddD.txt) Option_Price file (IVYOPPRC.yyyymmddD.txt) Zero_Curve file (IVYZEROC.yyyymmddD.txt) Index_Dividend file (IVYIDXDV.yyyymmddD.txt) Std_Option_Price file (IVYSTDOP.yyyymmddD.txt) Option_Volume file (IVYOPVOL.yyyymmddD.txt) Volatility_Surface file (IVYVSURF.yyyymmddD.txt) Historical_Volatility file (IVYHVOL.yyyymmddD.txt) Open_Intetest file (IVYOPOI.txt) Files are produced nightly in a tab-delimited format. In the descriptions below, the layout of each file is shown, giving the data type, maximum field length (for character fields) and the field name. All dates are given in YYYYMMDD format. The primary key
Background image of page 7

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 8
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 48

IvyDB Reference 2.5 - Ivy DB File and Data Reference Manual...

This preview shows document pages 1 - 8. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online