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It depends on what are you going to use the IV for. Are you selling or buying? If doing both, taking volume/quote into account is sensible Extrapolate if doing only bid or only ask curve For deep ITM/OTM


Interactive Brokers does not offer execution or even a market data feed with speeds required for HFT. With HFT trading systems now competing for micro-seconds, as opposed to milliseconds 4-5 years ago - a typical retail trader connecting over the Internet is out of league, even with dedicated lines just the network round-trip time will render any HFT attempt ...


After some research and reading the source, I found there is a field in the Contract class called: m_includeExpired. Set this to True and you can get data for expired contracts.

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