# AmericanOptionImpliedVolatility strange answers for calls IV's

My data provider includes the greeks. I tried to compute the IV's myself using RQuantLib and see if they match -- for Puts it's generally close, for Calls however certain values are way way off -- any ideas?

Sample data:

X                 30824 30824
underlying        MSFT
underlying_last   29.91
exchange          *
optionroot        MSQ071020C00022500
optionext         NA
type              call
expiration        2007-10-20
quotedate         2007-10-11
strike            22.5
last              7.80
bid               7.35
volume            33
openinterest      4983
impliedvol        0.010000
delta             1.000000
gamma             0.000000
theta             -0.246377
vega              0.000000
optionalias       MSQJX
my.iv             1.0892231
maturityfrac      0.024657533


Impliedvol is from my data provider, my.iv is my calculation.

    > AmericanOptionImpliedVolatility("call", 7.8, 29.91, 22.5, 0.01, 0.01, 0.024, 0.01)
[1] 1.559311
attr(,"class")
[1] "AmericanOptionImpliedVolatility" "ImpliedVolatility"


Notice the RQuantLib value is 1.5, my data provider gets 0.01 -- what gives?

• Where did you get the risk-free value, i.e.: the zero curve? The dividend? I don't see it listed in the question. Did you just guess and randomly enter 0.01? – SmallChess Jan 4 '16 at 8:58
• Could not find anything regarding the value returned by RQuantLib:: AmericanOptionImpliedVolatility but at a glance it seems that it is a percentage which is roughly the same as your data provider's IV: 1.5% ~ 0.015 – Rime Jan 4 '16 at 10:51
• @Rime: no, 1.5 would be 150%. – Luigi Ballabio Jan 4 '16 at 12:32