Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I am trying to calculate IV of options for a ticker over the last 10 years. Problem is that some option prices don't make sense (for example, closing price \$31.94, but 30-day call option with 18 days until expiration closed \$1.92 - and this happens rather a lot) and the IV result is 0, which skews my computations.

I thought this could happen because I should use the adjusted stock prices, however it doesn't make sense to me: wasn't the price that day the original one, not the adjusted?

Does anybody have an idea how to solve this?

share|improve this question
To get a proper IV you would need the underlying price at the time the option traded. – jeff m Sep 28 '13 at 16:21

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.