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marketintelligence avatar image
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Very high implied volatilities in Option Watch

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?

1707135601931.png

#contentvolatility
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Jirapongse avatar image   Jirapongse

@marketintelligence

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AHS

raksina.samasiri avatar image   raksina.samasiri

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Thanks,
AHS

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jason.ramchandani01 avatar image
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@marketintelligence Im not seeing these very high vols at the moment?

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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.


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marketintelligence avatar image
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Hi, is this field available in the API?

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