OptionMetrics Announces IvyDB US – Intraday Daily Snapshots on Equities to Assess Intra-Session Volatility Patterns and 0DTE Option Strategies

This chart, created with data from OptionMetrics’ new IvyDB US - Intraday dataset, shows at-the-money implied volatility from the 0DTE volatility surface, captured at a 10 a.m. ET snapshot. Compared with longer-dated horizons, 0DTE options consistently exhibit higher implied volatilities and variance risk premia, driven by their extreme gamma sensitivity and binary payoff structure. IvyDB US - Intraday builds on OptionMetrics’ industry standard historical option prices and implied volatility data with accurate daily snapshots of options prices and corresponding volatility calculations at 10:00 a.m., 2:00 p.m., and 3:45 p.m. ET.

IvyDB US – Intraday enables institutional investors to analyze intraday options price movements related to risk events, such as Federal Open Market Committee (FOMC) announcements, earnings, and other corporate news; monitor corporate actions and discrete dividend projections; evaluate models; perform sophisticated research, and backtest strategies.

“The frequency of equity and index trading has increased dramatically. Markets are deeper, more liquid, more responsive to intraday news, and investors are trading across a wider range of securities,” said Eran Steinberg, COO and Chief of Staff at OptionMetrics. “IvyDB US – Intraday capitalizes on the highest quality data that OptionMetrics has become known for, while giving institutional investors additional actionable snapshots to assess 0DTE options and other higher frequency trading strategies throughout the day.”

IvyDB US – Intraday can be used standalone or alongside IvyDB US, OptionMetrics’ flagship database, recognized as the gold standard in historical options data. While IvyDB US – Intraday gives hedge funds, institutional investors, and academic researchers timely, actionable insights on how markets are evolving throughout the day, IvyDB US offers a complete historical record of end-of-day data on US exchange-traded equity and index options starting from January 1996 onward to backtest longer-term strategies. Both datasets leverage the most comprehensive, highest quality data, and monitor corporate actions and discrete dividend projections, ensuring adjustments are fully reflected in option prices.

IvyDB US – Intraday includes:

• Clean, reliable historical data beginning in 2018
• Best bid and ask quotes for each strike and expiration, plus intraday underlying prices
• Volume, implied volatility and greeks for each option and 0DTE
• Introduction of ultra-short tenors on volatility surface (0DTE, 1DTE, 5DTE)
• Industry-standard implied volatility models (binomial trees for American options; discrete dividend projections)
• CUSIP and ticker information
• Unique Security IDs for easy backtesting regardless of CUSIP or ticker changes, or mergers
• FTP (File Transfer Protocol) for automatic updates and flexible customer integration.

Contact [email protected] for details.

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KEYWORD: UNITED STATES NORTH AMERICA NEW YORK

INDUSTRY KEYWORD: SOFTWARE DATA ANALYTICS FINANCE DATA MANAGEMENT PROFESSIONAL SERVICES TECHNOLOGY FINTECH BUSINESS

SOURCE: OptionMetrics

Copyright Business Wire 2025.

PUB: 08/19/2025 04:18 PM/DISC: 08/19/2025 04:18 PM

http://www.businesswire.com/news/home/20250819058489/en