Research

The IVolatility historical database and data services are widely used for options trading, analysis and academic research.

To encourage students and professors to use our data services for their research and working papers we offer special academic pricing. This pricing is designed specifically for the academic community, but available to all researchers interested in preparing working papers or doing options research.

Delivery is available in .csv files as well as in a convenient database format.

Read more about our historical implied volatilities database.

For more information about this special plan, please contact our sales team at sales@ivolatility.com.

You can also give us a call at 1 (201) 275 1111 ext 101.

Below is a list of articles, working papers, seminars and other contributions done by IVolatility analysts, quants and clients from universities and colleges using our data or services.

• Cigdem Yerli, Zehra Eksi-Altay, A. Sevtap Selcuk-Kestel, "On the information content of implied liquidity measure: Evidence from the S&P 500 index options." (Vienna University Of Economics And Business, Institute of Applied Mathematics, Middle East Technical University, Finance Research Letters, Volume 57, November 2023)
• Steven L. Heston, University of Maryland, and Karamfil Todorov, Bank for International Settlements, "Exploring the Variance Risk Premium Across Assets", February 28, 2023
• Nilanjana Chakraborty, "Option Pricing Simplified" (Qatar University - College of Business and Economics, March 22, 2023)
• Matthijs Breugem, Raffaele Corvino, Roberto Marfe, Lorenzo Schoenleber, "Pandemic Tail Risk" (University of Turin and Collegio Carlo Alberto, April 2021)
• Anthony Maylath, "Understanding Volatility Performance with PCA" (Quantitative Insights, Jul 2020)
• Clemens Kownatzki, Hisam Sabouni, "Option Strangles: An Analysis of Selling Equity Insurance" (American Journal of Management, 2019)
• Firas Kotite, Clemens Kownatzki, "In Search of a Better Volatility" (Social Science Research Network, March 2017)
• Scott Mixon, "What Does Implied Volatility Skew Measure?" (Journal of Derivatives 18(4): 9-25, Summer 2011).
• Sven Oberbach, "Chaos and Order in Black-Scholes Formula" (Num Lab Oberbach (Numerical Laboratory), May, 2011).
• Vladimir Ionesco, "The performance of implied volatility in forecasting future volatility: an analysis of three major equity indices from 2004 to 2010" (MIT Sloan School of Management, May, 2011).
• Vladimir Zdorovenin, Jacques Pezier, "Does Information Content of Option Prices Add Value for Asset Allocation?" (ICMA Centre, Henley Business School, University of Reading, UK, January, 2011)
• Jack Walker, "Exploring the Edge", (Working paper, IVolatility, 2010).
• Dominik Jaretzke, "CDS Model and Market Spreads Amid the Financial Crisis," (Working paper, Maastricht University, January 2010).
• Scott Mixon, "Option Markets and Implied Volatility: Past versus Present" (Journal of Financial Economics 94(2): 171-191, November 2009).
• Alexander Gairat, IVolatility, "Variance Swaps," (Working Paper, IVolatility, November 2005).
• Tatiana Lozovaia and Helen Hizniakova, IVolatility, "Dispersion risk," (FOW, June 2003).
• Ravi Kant Jain and Tatiana Lozovaia, "Profitable trading using options analytics," (Working Paper, IVolatility, March 2003).
• Ravi Kant Jain, IVolatility, "Putting volatility to work," (Active Trader Magazine April 2001).