Option Metrics Dataset

The Bureau of the Fiscal Service, on behalf of the Office of Financial Research (OFR), intends to award a fixed-price purchase order on a single source basis to Option Metrics LLC, 1776 Broadway, Suite 1800, New York, New York 10019-2014 for online access to the Ivy DB database The NAICS code is 519130. The Contracting Officer has determined that Option Metrics is the only source that can reasonably meet the OFR's requirement in accordance with FAR Part 13.106-1(b). This service provides access to a comprehensive source of historical price, implied volatility, and sensitivity data for the U.S. exchange-listed equity and index options markets.

Several types of volatility are of particular interest: volatility smiles; volatility term structures; and volatility surfaces which are 3-D plots of volatility smile and the term structure of volatility for a given underlying asset. The models used to calculate the current and future option pricing (including back testing) must be transparent and in use in the current finance and academic literature as well as in active use by institutional traders and investment banks in order to be comparable across the professional and academic literature. The current "standard" models for options research are the Black Scholes model for European priced options (the pricing schema is different for European options) and the industry standard Cox-Ross Rubinstein model for American priced options. For transparency and comparative analysis across academia non-proprietary pricing models are required with data which predates the last two recessions. Option Metrics is the only data service devoted exclusively to the option market which is not primarily focused on trading valuations and strategies. Option Metrics is the industry and academic standard for research and while it does provide information for appropriate valuation of options it also permits the development of back tested models using non-proprietary algorithms and transparent industry and academic models for historical research and risk mitigation. Option Metrics provides historical pricing, corporate, and filing information back to 1996 - predating the last two recessions. The data includes news, briefs, articles, and SEC filings and corporate actions. Option Metrics is the only source which provides the pre-calculated volatility statistics using the transparent industry and academic standard models (Cox-Ross Rubinstein model and Black Scholes model) as well as charting and research tools for constructing models for risk mitigation. The data must also include news, briefs, articles, and SEC filings and corporate actions.

The period of performance for the purchase order is anticipated to be one (1) base year with four (4) one (1) year options.

The total estimated value of this purchase order will be above the simplified acquisition threshold.

NO SOLICITATION IS AVAILABLE. A request for more information, or a copy of the solicitation, will not be considered an affirmative response to this Special Notice. Telephone responses or inquiries to this Special Notice will not be accepted.

Fiscal Service will consider written responses received no later than 09/06/2019. Responses must be submitted electronically to purchasing@fiscal.treasury.gov, GFD/Attn: BC - EDG. Responses must include sufficient evidence that clearly shows your company is capable of providing the content described in this notice. Responses received will be evaluated; however, a determination by the Government not to compete the proposed procurement based upon responses to this notice is solely within the discretion of the Government. If no written response is received by the aforementioned deadline that clearly demonstrates an ability to meet all requirements, and that is more advantageous to the Government, Fiscal Service will make award on a sole source basis to Option Metrics. Qualified Contractors must provide the following:

1. The name and location of your company, contact information, and identify your business size (Large Business, Small Business, Disadvantaged Business, 8(a), Service Disabled Veteran Owned Small Business, HUBZone, etc.). Please ensure contact information includes the name of the point of contact, email address, and telephone number, should the Government have questions regarding individual responses.

2. DUNS Number.

3. Specific details of the product(s) that your company offers in regards to this notice.

4. Whether your content is available through a Government contract vehicle or Open Market.

5. A brief capabilities statement (not to exceed 5 pages) that includes a description of your company's standard line of business, as well as a list of customers to whom your company currently provides the specific required content.

The following file extensions are not allowable and application materials/data submitted with these extensions cannot be considered:

.bat, .cmd, .com, .exe, .pif, .rar, .scr, .vbs, .hta, .cpl, and .zip files.

Microsoft Office and Adobe compatible documents are acceptable.

No other information regarding this Special Notice will be provided at this time.

The period of performance for this action is to be one (1) twelve month base period with four (4) 12-month option periods after receipt of order (ARO). Fiscal Service may consider information received no later than 12:00 p.m. EST on Friday, September 6, 2019, submitted to purchasing@fiscal.treasury.gov, Option Metrics / Attn: BC - EDG.

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