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,,
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?