I'm trying to compute greeks by myself for some historical data. I'm able to get the greeks computed most of the time, but sometimes they just fail to be computed. Looking at the data, I think the failure often happens when the option is deep ITM/OTM and the bid/ask spread is large. The algorithm simply couldn't find a solution for the BSM process. I used the average of bid and ask as the option price. I'm curious that, if any of you have computed greeks, what you used as the option price. I feel that the average of bid and ask may be problematic because it not only can result in the above issue, but also is less meaningful for options with wide bid/ask spreads. Maybe two sets of greeks should be computed for bid and ask, respectively? However, I haven't seen that from my broker.