Wierd deliverable causes wierd IV

Discussion in 'Options' started by qazmax, May 14, 2004.

  1. qazmax


    Has anyone had noticed that some software cannot process wierd deliverable options into correct Vol, Delta, Gamma, Theta, Vega, Rho correctly??

  2. Probably because unless there's a way for you to tell the software what the delivery terms are, there's no way for it to know and so assumes the standard 100 shares of the underlying as the deliverable.

    I've only seen delivery terms specified in text documents published by the CBOE - unless your datafeed makes those details available to whatever software you're using, how would the software know about non-standard delivery terms?