IvyDB Beta
Assess Systematic Risk, Returns in Equity Trading with the Industry’s First Implied Beta Dataset
Due to growth in options trading over the last two decades, there is a great deal of information that can be gleaned on equities by looking at options data. IvyDB Beta offers an extensive range of implied beta data from the options market for the top 500 SPY constituents and market capitalization single-name U.S. securities, dating back to January 2007. IvyDB Beta is an essential tool for factor investing; low vol strategies, equity long/short or market neutral strategies, stat/arb pairs trading in equities investing. By leveraging IvyDB Beta, investors can gain deeper insights into the options market's perception of future systematic risk, enabling more informed decisions when forecasting risk and return across equities.
A More Precise, Predictive Measure of Beta in Equities
The Capital Asset Pricing Model (CAPM) is widely used today by financial professionals for valuing securities and evaluating expected returns. However, this model has drawbacks. It relies on historical beta, which can be retrospective and slow to adapt to new information. In contrast, OptionMetrics' IvyDB Beta utilizes implied betas, which are forward-looking. This unique characteristic enables a more accurate assessment of systematic risk, particularly during events such as earnings releases, FOMC meetings, and other macroeconomic announcements.
IvyDB Beta provides betas for the top 500 SPY constituent securities listed in the U.S. starting from January 2007 onwards. IvyDB Beta also includes pairwise implied correlations for the top 50 SPY constituents in a term structure format, ranging from 30 to 730 days. It includes constituent's implied weighted correlations at the 60-day horizon.
IvyDB Beta is updated daily to incorporate new end-of-day prices in all SPY constituents. A daily patch file is also provided which contains corrections to previous prices or calculations when needed. Your IvyDB Beta database is always current and ready to use.
OptionMetrics clients receive dedicated support and expert guidance from day one. We provide step-by-step installation guides as well as in-depth reference manuals for your day-to-day use. Should you have any questions, our support team is available during working hours (Eastern Time) Monday through Friday; for urgent issues, assistance is available 24x7.
The Latest News & Events
OptionMetrics Releases IvyDB US 7.0 and IvyDB ETF 5.0
OptionMetrics is pleased to announce the release of IvyDB US 7.0 and IvyDB ETF 5.0, introducing a more advanced framework for options data analysis with expanded flexibility in valuation methodologies and materially improved data precision. The datasets incorporate borrow rate–aware ...
Read moreOptionMetrics Featured in Reuters on Shifting U.S. Dollar Positioning
OptionMetrics was featured in a recent Reuters article on the U.S. dollar outlook, with Garrett DeSimone, Head of Quantitative Research at OptionMetrics, noting that hedging activity has eased following Kevin Warsh’s Fed nomination. OptionMetrics data also showed rising interest in ...
Read moreGarrett DeSimone Featured in MarketWatch on S&P 500 “Crash Insurance”
In a recent MarketWatch article, OptionMetrics’ Head of Quantitative Research, Garrett DeSimone, offered insight into current market sentiment. He noted that “crash insurance” for the S&P 500 remains “somewhat expensive,” even after last week’s rebound - underscoring continued caution among ...
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