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European Historical Options Data

European equities and options:

All equities, including stocks, ETFs and indices and all traded options from London Stock Exchange, Euronext Amsterdam, Euronext Brussels, Euronext Paris, Euronext Lisbon, Bolsa de Madrid, Borsa Italiana, SIX Swiss exchange, Swiss Blue Chip Segment, Frankfurt Stock Exchange, Xetra, Euronext LIFFE, Eurex, Borsa Italiana, MEFF
Over 1500 European names and 900+ among them with options
Earliest history starts 2010

European futures and futures options:

Selective coverage of most popular futures and futures options in Europe from Oslo Bors, NYSE Euronext Paris, NASDAQ OMX Stockholm, NASDAQ OMX Copenhagen, EUREX Swiss Options and Financial Futures, EUREX Swiss Options and Financial Futures, EUREX Deutsche TerminBorse, NYSE Euronext Amsterdam, NYSE Euronext Brussel, Milan Stock Exchange (Borsa Italiana) including mini-Ibex, Euro Bobl, Euro Bund, Euro SCHATZ, etc...
Over 200 European futures products and up to 20 among them with options
Earliest history starts November 2011

Russian market FORTS, with futures and futures options traded on indices, energy, precious metals, FX, stocks, etc...
Over 100 FORTS futures products and up to 20 among them with options
FORTS history starts September 2009.

Call + 1 (201) 275-1111
or email sales@ivolatility.com
to order the data,
or fill request form.

Available End of the Day (EOD) historical options datasets and samples:

	European Equities	European Futures
1. Underlying prices.
	Sample of European Underlying Prices	Sample of European Futures Prices
2. Options prices with volumes & OI. Includes all options chains, all strikes, all expirations.
	Sample of European Options Prices With Volumes & OI	Sample of European Futures Options Prices With Volumes & OI
3. Raw Implied Volatilities (Raw IV). Includes options prices with volume & OI, IV, Greeks for all strikes and expirations.
	Sample of European Raw IV	Sample of European Futures Raw IV
4. Implied Volatility Index (IVX). An averaged ATM volatility measure for each name from 30 to 1080 days maturity.
	Sample of European IVX	Sample of European Futures IVX
5. Implied Volatility Surface by Moneyness. A surface normalized by moneyness (from -60% strike to +60% strike with 5 % step) and maturity (from 1 month to 3 years).
	Sample of European IV Surface By Moneyness	Sample of European Futures IV Surface By Moneyness
6. Implied Volatility Surface by Delta. A surface normalized by delta (from 0.1 to 0.9 with 0.05 step) and maturity (from 1 month to 3 years).
	Sample of European IV Surface By Delta Sample of European Raw IV Surface By Delta	Sample of European Futures IV Surface By Delta Sample of European Futures Raw IV Surface By Delta
7. Implied Volatility Parameterized Surface. Smoothed by 2nd order equation volatility curves at each expiration (a,b,c curve coefficients).
	Sample of European IV Parameterized Surface	Sample of European Futures IV Parameterized Surface
8. Historical Volatility. Close-to-close and Parkinson's historical volatilities for different time periods.
	Sample of European Historical Volatility Sample of European Parkinson's Historical Volatility	Sample of European Futures Historical Volatility
9. Correlations and Betas against European market indices.
	Sample of European Correlations and Betas	n/a
10. Dispersion metrics for DAX European index Implied/Realized Correlations, Index IVX and HV, Proxy Components volatilities.
	Sample of European DAX Index	n/a
Intrerest Rates, Dividends.
	Sample of European Interest Rates Sample of European Stock Dividends Sample of European Yields Sample of European Implied Yields	n/a
Corporate Actions.
	Corporate Actions data are included into Managed Database delivery.	n/a

All samples are in csv-delivery format.

Data Delivery

2 delivery choices are available for IVolatility's Historical EOD Options Data:

Data is delivered as csv files via ftp. No extra fee.
Samples of the files can be downloaded from the US or Europe or Asian Historical Database page.
Data is delivered as Managed Database. Two Managed Database delivery options are available:
2a) MS SQL Server or PostgreSQL format ($1000 one-time fee).
2b) A set of cross-referencing csv files importable into any relational database ($500 one-time fee).

In either type of Managed Database, data is delivered in the form of a database that contains a number of tables cross-referenced using internal instrument IDs. The database includes complimentary data on corporate actions, dividends and interest rates.

For MS SQL and PostgreSQL solutions (choice 2a), we include all scripts and utilities required to unpack data files on the client's side, create database structures, upload history to the database, and keep it updated using automatic replication jobs. The replication service provides data maintenance like adding new names, renaming that result from any corporate actions, maintaining market structure changes, and applying corrections to the history. The replication job is performed periodically at a scheduled time.

For other types of relational databases (choice 2b), we deliver the same data, but the client is responsible for setting up database structures, importing data, and setting up daily update jobs.

Call + 1 (201) 275-1111 or email sales@ivolatility.com to order the data, or fill request form.

European Historical Options Data

European equities and options
European futures and futures options

Call + 1 (201) 275-1111
or email sales@ivolatility.com
to order the data,
or fill request form.

Available End of the Day (EOD) historical options datasets and samples
1. Underlying prices.
2. Options prices with volumes & OI.
Includes all options chains, all strikes, all expirations.
3. Raw Implied Volatilities (Raw IV).
Includes options prices with volume & OI, IV, Greeks for all strikes and expirations.
4. Implied Volatility Index (IVX).
An averaged ATM volatility measure for each name from 30 to 1080 days maturity.
5. Implied Volatility Surface by Moneyness.
A surface normalized by moneyness (from -60% strike to +60% strike with 5 % step) and maturity (from 1 month to 3 years).
6. Implied Volatility Surface by Delta.
A surface normalized by delta (from 0.1 to 0.9 with 0.05 step) and maturity (from 1 month to 3 years).
7. Implied Volatility Parameterized Surface.
Smoothed by 2nd order equation volatility curves at each expiration (a,b,c curve coefficients).
8. Historical Volatility.
Close-to-close and Parkinson's historical volatilities for different time periods.
9. Correlations and Betas against European market indices.
10. Dispersion metrics for DAX European index Implied/Realized Correlations, Index IVX and HV, Proxy Components volatilities.
11. Intrerest Rates, Dividends.
12. Corporate Actions.

Data can be delivered either in a csv file or in a managed database format for easy upload into any kind of database (MSSQL, PostgreSQL, etc).