OptionMetrics

???????????????? ??????????????????: ???????????????? ???????? ???????? ?????????????? ???????????????? ?????????????????? ?????? ?????????????? ???????? How can investors better manage risk and improve returns? Traditional volatility measures often fail to differentiate between downside risk and upside gains, but new research from OptionMetrics’ Garrett DeSimone, Ph.D., and ChienYueh (Oscar) Shih introduces a multi-factor approach that does just that. Key Findings: ?? Implied Variance Asymmetry (IVA) reflects investor expectations of uneven upside and downside variance, providing a risk-neutral perspective on volatility imbalance. ?? Implied Beta, derived from options data, refines the classic Betting-Against-Beta (BAB) strategy. ?? Combining low beta with high IVA significantly enhances risk-adjusted performance, yielding a 12% annualized return and a Sharpe ratio of 0.85, outperforming standalone factors. ?? High beta/low IVA stocks, in contrast, demonstrate negative annualized returns (-1.4%), highlighting the pitfalls of ignoring downside risk. This study underscores the power of option-implied factors in portfolio construction, offering investors new tools to navigate risk. Read the full research here: https://lnkd.in/eZa-bjH8 #Volatility #ImpliedBeta #RiskManagement #QuantFinance #OptionsTrading #Investing

???????????????? ???????? ?????????????? ???????????????????? ???????? ???????????????? ?????????????? ???????? Back-testing your trading strategies shouldn’t be a challenge. IvyDB Futures provides the robust data needed for sophisticated derivatives research, helping traders and analysts make more informed decisions. ?????? ???????????????? ??????????????: ? Comprehensive settlement prices for each option strike and expiration ? Unique Security IDs for seamless back-testing ? Nightly updates via FTP for continuous access to the latest data Gain an edge with high-quality, research-ready options data. Learn more: https://lnkd.in/e35Fd2SK

???????? ???? ???? ?????????? ???????????? ???????? ???? ?????????? ???? ???? ?????? ???????? ???????? We're thrilled to sponsor this event, which brings together top minds in quantitative finance to explore the latest trends, strategies, and insights in the world of data-driven trading. Will you be there? Let’s connect so you can find out more about how our IvyDB databases can empower your research and decision-making. Find out more: https://bit.ly/3CWNjmk

Understanding historical futures and options data is key to building better trading strategies, evaluating risk, and conducting in-depth market research. IvyDB Futures provides comprehensive data on 100+ liquid optionable futures from CME, ICE, and Eurex, with implied volatility, Greeks, settlement prices, and more. See how clean, structured historical data can support your research and decision-making. Swipe through to learn more.

?????? ???????? ?????????????? ???????? ?????? ???????????? ??????? The global energy market is experiencing a shift following China’s move to impose tariffs on U.S. coal and natural gas imports. These tariffs do not apply to imports from countries such as Australia. With Australia positioned to benefit, what does options-market data indicate about future trends? Swipe through to explore how geopolitical factors and options sentiment align based on insights gained using OptionMetrics’ IvyDB Futures European data.

Despite record-high entry costs, equity dispersion trades thrived in January, fueled by AI-driven volatility and shifting tariff policies. This Risk article explores how traders capitalized on market swings, using OptionMetrics data to analyze volatility pricing. "Dispersion benefits when implied correlation is greater than realized correlation, and when that gap is sufficiently large, it means the juice is worth the squeeze. When the gap is small, or realized correlation is greater than implied, it becomes riskier and you should probably just put your money in cash," says Garrett DeSimone, Head of Quant at OptionMetrics. With market uncertainty at play, access to high-quality options data is more critical than ever. #Dispersion #Options #OptionMetrics

Vol Crush, or the tendency of certain stocks’ implied volatility to increase beforehand and decline afterwards, has been a consistent, high-return strategy. In this month’s blog, Brett Friedman examines how it has fared for three AI high flyers, Nvidia, Palantir, and AMD. The results have been impressive! Read full blog below. #VolCrush #AI #Stocks ?

?????????? ???????? ?????????????? ???????????????? ???????? ???????????????????? For over two decades, OptionMetrics has been the trusted source for high-quality options data, empowering traders, quants, and researchers with reliable insights. Here’s why industry leaders choose us: ? A Common Language for Options Pricing Our data is built on the widely accepted Black-Scholes-Merton model, ensuring seamless communication across the industry. Analyze volatility smiles, skews, and term structures with confidence. ?? Trusted by Top Institutions Over 300 institutional subscribers and universities worldwide rely on OptionMetrics for options research, from trading strategies to corporate finance studies. ?? Full Control Over Your Analysis Backtest strategies, evaluate risk models, and conduct in-depth options research with our flexible data products. ?? Transparent & Reproducible Methodology We provide detailed documentation so you can verify calculations and trust your results. ?? Global Markets Coverage Access daily option prices, implied volatility, and Greeks for US, European, Asia-Pacific, and Canadian markets. ?? Flexible Data Hosting & Access Use our data with your preferred systems, including Microsoft SQL Server, with seamless integration. Ready to take your options research to the next level? Learn more: https://lnkd.in/e3PJ3SRh

Meet Moti Mizrahi, Vice President of Product & Technology at OptionMetrics. With over 20 years of experience leading transformational technology initiatives, Moti focuses on driving innovation, enhancing user experience, and advancing technology to support business growth. Before joining OptionMetrics, Moti served as CTO at Charidy and Negba Group. He has also held senior roles in customer experience and software development at Cisco and HP. He holds a Bachelor's degree in Computer Science and Economics from Tel Aviv University. Moti’s expertise in technology and product development plays a key role in shaping the future of OptionMetrics.

A big thank you to everyone who stopped by our booth at Asset Management Derivatives Forum to talk with Laura Toppi, William Ko and Jordan Orozco about how OptionMetrics can support your research and decision-making. Did you get your 'Make Volatility Great Again' hat before they were all gone? If we missed you or you’d like to continue the conversation, don’t hesitate to reach out. Let's connect!