OptionMetrics announced on Wednesday that it has released IvyDB Canada 5.0, an updated version of its historical Canadian options database.
The company said the move will offeri institutional investors, hedge funds and quantitative researchers greater flexibility in pricing methodologies, more accurate implied volatilities and a smoother volatility surface for backtesting and risk assessment.
The database covers more than 300 optionable securities from Canadian exchanges, with historical data and daily updates available for most securities since March 2007.
Key additions in the 5.0 release are said to include the option to incorporate borrow rates (the interest cost associated with holding a stock intended for short sale), into options price calculations, or to use legacy methodologies, or both simultaneously for comparison purposes.
The update also integrates Woodseer Dividend Forecast data directly into the dataset, enabling more accurate assessment of dividend strategies and improving the precision of implied volatility calculations across covered securities.
The release comes as Canadian options trading continues to grow. The Montreal Exchange reported an average of 950,000 Canadian derivatives contracts traded daily in the fourth quarter of 2025, a 10% increase year-on-year, with rises in both ETF and equity options volumes.
“As the premier provider of historical options data, analytics, and volatility worldwide, we are committed to giving institutional investors and academics access to the highest quality data,” said Eran Steinberg, Chief Operating Officer at OptionMetrics.
The methodology updates in IvyDB Canada 5.0 align with similar changes made earlier this year to OptionMetrics’ flagship IvyDB US 7.0 and IvyDB ETF 5.0 products, enabling users to more easily port strategies between the US and Canadian datasets.
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