OptionMetrics, an options database and analytics provider for international institutional investors and academic researchers, announced today that New York University Tandon School of Engineering has entered into an agreement to use its IvyDB options data for courses and research, enabling students and professors to access over 24 years of historical options data.
In an NYU course on Event-Driven Finance, Adjunct Professors Mike Lipkin and Sacha Stanton provide an introduction to the impact of events on options prices and volatility surfaces using OptionMetrics IvyDB data. Students discover how to write queries to anticipate volatility and better understand market changes in an environment of constant news.
“The Finance and Risk Engineering Department at NYU Tandon has always sought to provide faculty and students a state-of-the-art technological experience. To that end, we are pleased to be using OptionMetrics for faculty research and for student pedagogy,” said Chair of the Finance and Risk Engineering Department at Tandon, Dr. Peter Carr. “I’m personally pleased to be using it for joint research on VIX options. I know it will also be used in our new Event-Driven Finance class this spring, and for student capstone projects.”
Used by over 300 institutional subscribers and the top universities worldwide, OptionMetrics offers the highest quality options data, enabling academia and students to backtest trading strategies, evaluate risk models, and perform sophisticated research, commonly leveraged in applying for research grants and in publication in journals.
“We use OptionMetrics, as a pedagogical tool, to teach students how to think about timely events–such as introduction of a COVID-19 vaccine or in advance of economic announcements–and how they impact options and the volatility surface,” said Lipkin. “Over the 11 years we have taught this course at Tandon and Columbia University, we have had students take the lessons learned and OptionMetrics data into their careers in academia and industry.”
The NYU Tandon School of Engineering, with its main campus in Brooklyn’s MetroTech Center, dates to 1854, the founding date for both the New York University School of Civil Engineering and Architecture and the Brooklyn Collegiate and Polytechnic Institute. A January 2014 merger created a comprehensive school of education and research in engineering and applied sciences as part of a global university, with close connections to engineering programs at NYU Abu Dhabi and NYU Shanghai.
“I am grateful to The NYU Tandon School and honored to be able to work with my alma matter. We look forward to a long, fruitful partnership with the school and its students as they leverage, and see for themselves, the value of the historical options data we have on over 10,000 underlying stocks and indices,” says OptionMetrics CEO David Hait, Ph.D.
OptionMetrics’ flagship product, IvyDB US, is considered the gold-standard for historical option prices and implied volatility data. It contains a complete historical record of end-of-day data on all US exchange-traded equity and index options from January 1996 onward, enabling quants, hedge fund managers, and others to back-test trading strategies, evaluate risk models, and perform sophisticated research on derivatives trading. The company also offers data products for Europe, Asia, Canada, and Global Indices. It is used by over 300 institutions worldwide.
About OptionMetrics:
OptionMetrics, draws on over 20 years of providing high-quality options databases and analytics with IvyDB historical options databases for U.S., Europe, Asia, Canada, and global indices to corporate, institutional subscribers and business schools worldwide. It has covered every U.S. strike and expiration option on over 10,000 underlying stocks and indices since 1996. Leading portfolio managers, equity options traders, and quantitative researchers rely on OptionMetrics for extensive, high-quality data to construct and test options investment strategies, perform empirical research, and accurately assess risk. www.optionmetrics.com, LinkedIn, Twitter, Facebook.
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