I have two options datasets:
- EOD IV and Greeks
- Tick option and underlying prices
I'm looking to calculate IV for each tick. Is there a way to approximate the ticks' IV using last EOD Greeks and IV?
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There are essentially two approaches you can take:
As I mentioned I do not see much value in why you want to run an approximation in the first place. If you look to derive meaningful IVs then you need to run the full computation, especially if you look to extract IVs for further implied volatility model testing. If you look for enough accuracy to observe bid and offer implied volatility then you should not run any approximations at all. Also, if you have access to historical intraday greeks then I highly recommend to check with your data vendor, most likely they also supply past implied volatility data. Just my two cents.