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I've got myself some data on SPX optons which looks like this:

date,exdate,cp_flag,strike_price,best_bid,best_offer,opp_volume,impl_volatility,delta
04-01-1996,16-03-1996,C,635000,5.25,5.75,250,0.100572,0.318471
04-01-1996,16-03-1996,C,400000,216.5,217.5,0,,

I guess, opp_volume stands for open interest.

My question regards the rows where opp_volume is 0. Those rows don't have delta and IV calculated for them. Well, that's reasonable: no trade - no delta and IV.

But what do best bid/ask prices stand for?

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Best bid is the highest price somebody is willing to pay to buy the option.

Best off is the lowest price somebody is willing to accept to sell the option.

Even if there is no trade, there may very well be limit orders in the order book: there is a potential market but offer and demand are still too far away from each other for trades to happen.

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opp_volume is probably option volume (not sure why it would be shortened to opp with extra p), not open interest. Volume is also more likely to be zero than open interest. The rest is like @SRKX wrote.

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