TL;DR:I’m utilizing a Python operate to calculate implied volatility (IV) and greeks from historic choices information. Nonetheless, IV fails to calculate when the choice’s intrinsic worth exceeds its market value. How ought to I deal with IV in such circumstances so I can compute the greeks?
Particulars:Hello, I’ve been working with a dataset of historic choices information that I obtain every day utilizing a dealer’s API—basically capturing end-of-day snapshots after every buying and selling session.
Once I run this information by way of a Python operate designed to calculate implied volatility (IV), I encounter a difficulty: IV returns no worth for choices the place the intrinsic worth is larger than the market value. In consequence, the greeks are additionally not computed for these timestamps.
My query is: How ought to I am going about calculating IV in these situations? As soon as I can get hold of IV, the greeks ought to observe naturally.
