OptionMetrics
Commercial vendor of the Ivy DB options database — end-of-day prices, open interest and computed Greeks for listed options. Discovered while ingesting gamma-fragility.
Ivy DB is the standard public-market alternative to exchange-internal data, and the two roles it plays in this corpus mark the boundary between them. pervasive-impact-of-option-trading uses it as a robustness check, re-running its results with OptionMetrics gammas instead of its own Black-Scholes ones. gamma-fragility uses it as the primary source, because holder identity is not available at any price — which is why that paper's dealer-position sign is an assumption rather than a measurement.
Connections
- data source for gamma-fragility (1996–2017, 300 underlyings)
- robustness data for pervasive-impact-of-option-trading (1996–2001 gammas)
Related
dealer-gamma-exposure · options-greeks · chicago-board-options-exchange