Hey all, I recently purchased level 2 1 year option data from delta neutral, and observed some strange spikes in IV in options with expiry of nearly 1 year out. These weird spikes seem to exist for nearly every option chain, and I want to know if this implies a problem in the data, or there's an actual explanation that I'm missing. I've attached some plots of option chains expiring on 3/19/21, with the data being collected from 2/14/21. The x axis here is just dates btw I apologize if this is not the right place to post this.
Why are you looking at IV instead of option bid/ask prices and analyzing what’s causing this issue? IV is simply a calculation based on option price, so you need to look at the source of the problem, not some chart with calculations that hide the source of the problem. Bids/asks are often all over the place on LEAPs, so you need to review option prices to understand what’s there. You may also want to check the current option prices from your broker and compare to the last ones in your historical data. Lots of other things are unclear, like whether those are liquid stocks, how expensive are the underlyings, who calculated the IV, etc.
Btw, some issues like this may be related to stock splits, as both pre-split and post-split options are being mixed up in the data. That’s again where a quick look and visually verifying option prices will tell you what’s wrong.