Very high implied volatilities in Option Watch

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marketintelligence
marketintelligence Newcomer
in Refinitiv Data Platform

Hi, in the option watch I see very high implied volatilities that do not match the Exchange. For example, for a Class IV Milk March24 18.50 Put option, the OPWSettleImpliedVolatility is equal to 770.7962 while the exchange reports an implied volatility of 16.61. There can be small differences due to different methodologies, but this difference is way too large and appears to me as a bug in the system.

This is just an example as I noticed this for multiple strike prices for Class IV Milk.

How is this possible?

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Best Answer

  • jason.ramchandani01
    jason.ramchandani01 admin
    Answer ✓

    @marketintelligence Im not seeing these very high vols at the moment?

    1707152564005.png

    Are these the options you are referring to? I notice these are US based options trading on CME - and you posted before market open - maybe the calcs blow out in our cleardown process. I have opened a content query on your behalf and asked our content team to respond to you directly to clarify the situation shortly. The case number is: 13283264

    I hope this can help.

Answers

  • marketintelligence
    marketintelligence Newcomer

    Hi, is this field available in the API?

  • rgarcia_1978
    rgarcia_1978 Newcomer

    I have also noticed that the implied volatility in some series (e.g., ILCOC.SERIESC) are either too high, too low, or just remain the same (0.009, 0.009,…., 0.009) for many many days. I'm 99% sure there is something wrong with the series.

    Can someone from Datastream/LSEG explain?

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @rgarcia_1978

    To verify the content, please contact the content support team directly via LSEG Support.

    @marketintelligence

    Please contact the helpdesk team to verify this. You need to ask for the Excel formula, such as =RDP.Data, that can be used to retrieve the required data.

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