Unusual Volatility surface data: I am using the python API to retrieve some volatility surface data for some stocks, and there are some unusual values exceed 1000. For example, the volatility surface for AAPL.O on 2017-02-17 was 44379.8042005109 across all moneyness. This occurs for several other tickers, such as ZTS on 2017-02-13. I would like to enquire the reason behind these abnormal values
Upon checking with specialist team, there is no data prior to 2020 for volatility surface for AAPL.O can you please confirm from where this data is getting pulled. Client is using below query
{
"universe": [
{
"surfaceTag": "1",
"underlyingType": "Eti",
"underlyingDefinition": {
"instrumentCode": "AAPL.O"
},
"surfaceParameters": {
"priceSide": "Mid",
"volatilityModel": "SSVI",
"xAxis": "Tenor",
"yAxis": "Moneyness",
"calculationDate": "2017-02-17"
},
"surfaceLayout": {
"format": "Matrix",
"xValues": [
"1M"
]
}
}
]
}
and here's the response:
{
"data": [
{
"surfaceTag": "1",
"surface": [
[
null,
"0.5",
"0.6",
"0.7",
"0.75",
"0.8",
"0.85",
"0.9",
"0.95",
"0.975",
"1",
"1.025",
"1.05",
"1.1",
"1.15",
"1.2",
"1.25",
"1.3",
"1.4",
"1.5"
],
[
"1M",
44379.8042005109,
44379.8035807471,
44379.8030567443,
44379.8028222175,
44379.8026028324,
44379.8023967518,
44379.8022024538,
44379.8020186636,
44379.8019303654,
44379.8018443029,
44379.8017603655,
44379.801678451004,
44379.8015203159,
44379.8013692116,
44379.8012245391,
44379.8010857733,
44379.8009524508,
44379.800700536296,
44379.800466009605
]
]
}
]
}
