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I am trying to calculate IV of options for a ticker over the last 10 years. Problem is that some option prices don't make sense (for example, closing price \$31.94, but 30-day call option with 18 days until expiration closed \$1.92 - and this happens rather a lot) and the IV result is 0, which skews my computations.

I thought this could happen because I should use the adjusted stock prices, however it doesn't make sense to me: wasn't the price that day the original one, not the adjusted?

Does anybody have an idea how to solve this?

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    $\begingroup$ To get a proper IV you would need the underlying price at the time the option traded. $\endgroup$ – jeff m Sep 28 '13 at 16:21

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