OptionMetrics launches dataset to navigate social media trading

Rick Steves

Tail hedging, performance of single name securities, and sentiment prior to corporate announcements, such as earnings, are a few of the use cases for the new service, but it also might be used to assess market swings, according to OptionMetrics’ Head Quant Garrett DeSimone.

With retail trading of options on the rise amid the new trend of social media trading, institutional investors are increasingly looking to consider their influence.

OptionMetrics aims to address institutionals’ newfound interest in options trading data by launching its new IvyDB Signed Volume 2.0 dataset.

The service goes into more detail on daily option market order flows and buy/sell pressure, and offers insights on retail trading to help quants, hedge fund managers, and other institutional investors improve trading strategy and research.

Tail hedging, performance of single name securities, and sentiment prior to corporate announcements, such as earnings, are a few of the use cases for the new service, but it also might be used to assess market swings, according to OptionMetrics’ Head Quant Garrett DeSimone.

“While the put/call ratio has become a staple technical indicator in the options market, the lumping together of bearish buy and bullish sell orders can make it ambiguous,” says DeSimone. “With IvyDB Signed Volume, portfolio managers, equity options traders, and quantitative researchers can gain greater insights into directional buying to more accurately assess opportunities and risk.”

Offering a full five years of history on buy/sell pressure, starting from January 2016, on over 10,000 underlying stocks and indices, the IvyDB Signed Volume 2.0 dataset is updated nightly.

The dataset tracks daily U.S. options trading volume indicating whether trades occurred at bid, ask, or midpoint, as well as expanded data points on lower option trade counts, characteristic of retail investors, to help distinguish trading activity.

David Hait, CEO at OptionMetrics, said: “IvyDB Signed Volume offers the cleanest, most reliable daily options data, aggregated over a full five years, to rapidly and accurately assess models and strategies.”

OptionMetrics has been providing historical options and implied volatility data to portfolio managers, traders, and quantitative researchers for over 20 years.

IvyDB covers equity, index, futures, and ETF options markets in the U.S., as well as Europe, Asia-Pacific, and Canada, and is used to construct and test investment strategies, perform empirical research, and accurately assess risk.

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