Empresas y finanzas

OptionMetrics Announces Historical Option Data Product for European Markets

18/10/2006 - 15:59

OptionMetrics LLC today announced the release of Ivy DB
Europe(TM), the first historical option pricing and implied volatility
data source developed specifically for the European listed options
markets.

"The increasing use of European equity and index options by our
customers, primarily proprietary traders and hedge funds, has
underscored the need for high-quality implied volatility and pricing
data for the European equity and option markets," said David Hait,
President of OptionMetrics. "Customers who aim to identify a broader
range of mispricings in the options, credit, and convertibles markets
and capture new trading opportunities now can rely on a European
version of the same high-quality research data that can be found in
the original Ivy DB product."

Ivy DB Europe will give traders access to more than four years of
high-quality European equity and index option price data and implied
volatility calculations. A key feature of the product is its implied
volatility surface file, which contains historical standardized
implied volatilities for each underlying equity and index, using
constant expiration and moneyness parameters.

"There is a need for a comprehensive industry source for
historical options prices and implied volatility calculations for the
major European equity derivative markets," said Richard Gee of Bear
Stearns. "OptionMetrics has a history of providing us with reliable
data for the US markets, and we look forward to integrating their
European database as well."

According to Cristophe Lepitre, of ADI Alternative Investments,
"Some possible applications of quality European implied volatilities
include the valuation of convertible bonds and variance swaps. Implied
volatility is also much better than historical volatility in the
calibration of multi-factor models."

Ivy DB Europe now joins Ivy DB as part of the OptionMetrics
research data product line. Ivy DB is the first widely available,
comprehensive source of high-quality historical price and implied
volatility data for the US equity and index options markets. It
contains accurate historical prices - dating back to January 1996 - of
options and their associated underlying instruments, correctly
calculated implied volatilities, and option sensitivities. Customers,
who include broker/dealers, hedge funds, and proprietary trading
firms, can use the product to back-test trading strategies, evaluate
risk/return models, and perform sophisticated research on all aspects
of options investment.

About OptionMetrics

OptionMetrics, LLC is a financial research and consulting firm
specializing in the econometric analysis of the options markets. It
provides unique solutions to clients in the financial services
industry by leveraging its core expertise in the options markets,
econometrics, and technology.