Options Data Handling

Discussion in 'Options' started by Viperace, Aug 29, 2014.

  1. Viperace

    Viperace

    I just got the raw historical option data that has bid and ask prices.

    For a same maturity/strike, there are 4 prices (call/put and bid/ask), how should we back-out the implied vol?

    - Get the mid price, get IV for call and IVput, average them?
    - Get IV for all four, and average ?
    - Others?
     
  2. Occam

    Occam

    There are an infinite number of possibilities. You will have to decide for yourself. It gets a lot trickier the wider the spread and the less liquid the option. Also, put-call parity is often "violated" for very valid reasons.