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I got SPX option prices from three different market data sources. In all of them, I can see bid and ask quotes. However, there is only one implied volatility. Does this implied volatility correspond to the bid or to the ask quote? or maybe the mid?

As a side note: the most logical thing to do, would be to ask the sources directly but I can't. Because of the way the option information is presented (it seems to be very similar between the three sources), I think it may be a convection, that's why my question here.

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  • $\begingroup$ The bid IV is the IV corresponding to the bid price, and analogously for the ask IV. For very far OTM options you probably should trust the bid more than the ask. $\endgroup$ Oct 1 at 11:46
  • $\begingroup$ Thank you. The problem I had is that it doesn't say "bid IV" or "ask IV", it just says "IV". $\endgroup$
    – Sebastian
    Oct 1 at 16:11
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They are usually "mid" of bid/ask. For illiquid options (OTM, very long dated) I wouldn't necessarily trust either the bid or offer. Traders are known to paint the market on both sides.

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