With 20+ years as the premier provider of historical options and implied volatility data, OptionMetrics distributes its IvyDB options, futures, and dividend forecast databases to leading portfolio managers, traders, quantitative researchers at 300+ corporate and academic institutions worldwide. Its data is used to construct and test investment strategies, perform empirical research, and assess risk.
We take a look back at the single biggest daily increase of the VIX, commonly known as Volmageddon.
Looking back over the past 25 years in risk management and trading, I recently considered which market-related event had the most influence on me. 25 years is a long time, and we have seen 09/11, the Gulf...
After a prolonged period of unconventional monetary policy, the Bank of Japan (BoJ) has embarked on a significant shift, moving away from negative interest rates—a decision that marks the end of the...
Short-term commodity price developments are in disagreement with longer term market-based narratives, at a disparity that seems glaringly large and could have important implications. Brett Friedman, Winhall...
What trades were behind the recent GameStop stock rally? OptionMetrics’ Head Quant Garrett DeSimone and Junior Modeling Quant Oscar Shih analyze options market activity and deconstruct trades made by...
How might geopolitical event affect crude oil and other commodities? Since implied volatility is a measure of future uncertainty and anxiety, it can be used to help to understand the long term effects...
Can options data indicate if AI stocks might be in a bubble? This article looks at three options-based volatility metrics in assessing the question.
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TSLA has already experienced a significant decline in 2024, accompanied by negative news. Given such pervasive pessimism, one might expect the stock’s overall riskiness to increase, but OptionMetrics...
What symptoms could point to the VIX, or its related futures contracts, being “broken” or irrelevant? This article explores a sampling of the reasonings from some pundits.
A look at recent stock correlations and market volatility.
