IVolatility Historical Options Data

US&Canadian Historical Options Data

US Equities & Options:
  • US listed equities, including stocks, ETFs, ADRs and indices and all traded options
  • More than 4000 US equities with options
  • Over 700,000 US equities options
  • History starts November 2000.

US Futures & Futures Options:
  • All US traded futures (commodities, equity index, interest rates, etc..) and futures options
  • More than 600 US futures products
  • Over 100 US futures products with options
  • Over 350,000 US futures options
  • History starts December 2005.

Canadian Equities & Options:
  • All Canadian based stocks, ETFs, indices and all traded options
  • More than 300 Canadian names with options
  • Over 30,000 Canadian options
  • History starts November 2000.


Call + 1 (201) 275-1111
or email sales@ivolatility.com
to order the data,
or fill request form.

Available End of the Day (EOD) historical options datasets and samples:
  US & Canadian Equities US Futures
1. Underlying prices.
  Sample of US Underlying Prices
Sample of Canadian Underlying Prices
Sample of US Futures Prices
2. Options prices with volumes & OI.
Includes all options chains, all strikes, all expirations.
  Sample of US Options Prices With Volumes & OI
Sample of Canadian Options Prices With Volumes & OI
Sample of US Futures Options Prices With Volumes & OI
3. Raw Implied Volatilities (Raw IV).
Includes options prices with volume & OI, IV, Greeks for all strikes and expirations.
  Sample of US Raw IV
Sample of Canadian Raw IV
Sample of US Futures Raw IV
4. Implied Volatility Index (IVX).
An averaged ATM volatility measure for each name from 30 to 1080 days maturity.
  Sample of US IVX
Sample of Canadian IVX
Sample of US Futures IVX
5. Implied Volatility Surface by Moneyness.
A surface normalized by moneyness (from -60% strike to +60% strike with 5 % step) and maturity (from 1 month to 3 years).
  Sample of US IV Surface By Moneyness
Sample of Canadian IV Surface By Moneyness
Sample of US Futures IV Surface By Moneyness
6. Implied Volatility Surface by Delta.
A surface normalized by delta (from 0.1 to 0.9 with 0.05 step) and maturity (from 1 month to 3 years).
  Sample of US IV Surface By Delta
Sample of US Raw IV Surface By Delta
Sample of Canadian IV Surface By Delta
Sample of Canadian Raw IV Surface By Delta
Sample of US Futures IV Surface By Delta
Sample of US Futures Raw IV Surface By Delta
7. Implied Volatility Parameterized Surface.
Smoothed by 2nd order equation volatility curves at each expiration (a,b,c curve coefficients).
  Sample of US IV Parameterized Surface
Sample of Canadian IV Parameterized Surface
Sample of US Futures IV Parameterized Surface
8. Historical Volatility.
Close-to-close and Parkinson's historical volatilities for different time periods.
  Sample of US Historical Volatility
Sample of US Parkinson's Historical Volatility
Sample of Canadian Historical Volatility
Sample of Canadian Parkinson's Historical Volatility
Sample of US Futures Historical Volatility
9. Correlations and Betas.
All US stocks VS S&P 500 index, all Canadian stocks VS TSX 300.
  Sample of US Correlations and Betas
Sample of Canadian Correlations and Betas
n/a
10. Dispersion metrics for selected US indices and funds (SPX, NDX, OEX, etc..)
Implied/Realized Correlations, Index IVX and HV, Proxy Components volatilities.
  Sample of US Indicies And Funds
Sample of Canadian Indicies And Funds
n/a
Intrerest Rates, Dividends.
  Sample of US Interest Rates
Sample of US Stock Dividends
Sample of US Yields
Sample of US Implied Yields
Sample of Canadian Interest Rates
Sample of Canadian Stock Dividends
Sample of Canadian Yields
n/a
Corporate Actions.
  Corporate Actions data are included into Managed Database delivery. n/a

All samples are in csv-delivery format.

Data Delivery

2 delivery choices are available for IVolatility's Historical EOD Options Data:
  1. Data is delivered as csv files via ftp. No extra fee.
    Samples of the files can be downloaded from the US or Europe or Asian Historical Database page.
  2. Data is delivered as Managed Database. Two Managed Database delivery options are available:
    2a) MS SQL Server or PostgreSQL format ($1000 one-time fee).
    2b) A set of cross-referencing csv files importable into any relational database ($500 one-time fee).

In either type of Managed Database, data are delivered in the form of a database that contains a number of tables cross-referenced using internal instrument IDs. The database includes complimentary data on corporate actions, dividends and interest rates.

For MS SQL and PostgreSQL solutions (choice 2a), we include all scripts and utilities required to unpack data files on the client's side, create database structures, upload history to the database, and keep it updated using automatic replication jobs. The replication service provides data maintenance like adding new names, renamings that result from any corporate actions, maintaining market structure changes, and applying corrections to the history. The replication job is performed periodically at a scheduled time.

For other types of relational databases (choice 2b), we deliver the same data, but the client is responsible for setting up database structures, importing data, and setting up daily update jobs.



Call + 1 (201) 275-1111 or email sales@ivolatility.com to order the data, or fill request form.


Call + 1 (201) 275-1111
or email sales@ivolatility.com
to order the data,
or fill request form.

US&Canadian Historical Options Data

US Equities & Options
  • US Futures & Futures Options
  • Canadian Equities & Options

Available End of the Day (EOD) historical options datasets
1. Underlying prices.
2. Options prices with volumes & OI.
Includes all options chains, all strikes, all expirations.

3. Raw Implied Volatilities (Raw IV).
Includes options prices with volume & OI, IV, Greeks for all strikes and expirations.

4. Implied Volatility Index (IVX).
An averaged ATM volatility measure for each name from 30 to 1080 days maturity.

5. Implied Volatility Surface by Moneyness.
A surface normalized by moneyness (from -60% strike to +60% strike with 5 % step) and maturity (from 1 month to 3 years).

6. Implied Volatility Surface by Delta.
A surface normalized by delta (from 0.1 to 0.9 with 0.05 step) and maturity (from 1 month to 3 years).

7. Implied Volatility Parameterized Surface.
Smoothed by 2nd order equation volatility curves at each expiration (a,b,c curve coefficients).

8. Historical Volatility.
Close-to-close and Parkinson's historical volatilities for different time periods.

9. Correlations and Betas.
All US stocks VS S&P 500 index, all Canadian stocks VS TSX 300.

10. Dispersion metrics for selected US indices and funds (SPX, NDX, OEX, etc..)
Implied/Realized Correlations, Index IVX and HV, Proxy Components volatilities.

11. Intrerest Rates, Dividends.
12. Corporate Actions.

Data can be delivered either in a csv file or in a managed database format for easy upload into any kind of database (MSSQL, PostgreSQL, etc).


Call + 1 (201) 275-1111
or email sales@ivolatility.com
to order the data,
or fill request form.

US&Canadian Historical Options Data

US Equities & Options
  • US Futures & Futures Options
  • Canadian Equities & Options

Available End of the Day (EOD) historical options datasets
1. Underlying prices.
2. Options prices with volumes & OI.
Includes all options chains, all strikes, all expirations.

3. Raw Implied Volatilities (Raw IV).
Includes options prices with volume & OI, IV, Greeks for all strikes and expirations.

4. Implied Volatility Index (IVX).
An averaged ATM volatility measure for each name from 30 to 1080 days maturity.

5. Implied Volatility Surface by Moneyness.
A surface normalized by moneyness (from -60% strike to +60% strike with 5 % step) and maturity (from 1 month to 3 years).

6. Implied Volatility Surface by Delta.
A surface normalized by delta (from 0.1 to 0.9 with 0.05 step) and maturity (from 1 month to 3 years).

7. Implied Volatility Parameterized Surface.
Smoothed by 2nd order equation volatility curves at each expiration (a,b,c curve coefficients).

8. Historical Volatility.
Close-to-close and Parkinson's historical volatilities for different time periods.

9. Correlations and Betas.
All US stocks VS S&P 500 index, all Canadian stocks VS TSX 300.

10. Dispersion metrics for selected US indices and funds (SPX, NDX, OEX, etc..)
Implied/Realized Correlations, Index IVX and HV, Proxy Components volatilities.

11. Intrerest Rates, Dividends.
12. Corporate Actions.

Data can be delivered either in a csv file or in a managed database format for easy upload into any kind of database (MSSQL, PostgreSQL, etc).