OptionMetrics IvyDB Signed Volume - Options Data and End of Day Option Order Flows Since 2016

The IvyDB Signed Volume dataset, available as an add-on product for IvyDB US, contains historical and daily data on detailed options trading volume. Trades in the IvyDB US dataset are categorized as either buyer-initiated or seller-initiated based on the trade price and bid-ask quote at the time of the trade. This dataset provides comprehensive options data, derivatives data, trading data, stock market data, and quantitative model data, aggregated and updated nightly/throughout the day. Key Insights: - Tracking Market Maker Inventory: Gain real-time insights into market maker activities. - Analyzing Option Order Flows: Analyze option order flows during critical announcement periods, such as FOMC decisions, M&A activity, and analyst revisions. - Evaluating Institutional Options Participation: Identify institutional options participation through the observation of large lot sizes. Features: • Tracks whether a trade occurred at the bid, ask, or midpoint • Every option, every day since January 2016 • Clean and reliable data • Symbols and security IDs link to IvyDB US • Volume lot size fields beginning in 2021 to help identify retail and institutional flow • Used in conjunction with IvyDB US, Signed Volume can help determine net gamma exposure by strike on a T-0 timeframe, as opposed to the traditional T-1

搜集汇总

背景与挑战

背景概述

该数据集是IvyDB US的附加产品，提供自2016年以来的历史每日期权交易量数据，包括买方或卖方发起的交易分类。它涵盖期权、衍生品和市场交易数据，支持分析做市商活动、订单流和机构参与，并用于实时市场洞察和量化建模。