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Implied Underlying Price Calculation Enhancement

Tuesday, October 1, 2019

We have updated the implied underlying price calculation, which is used as an input for volatility calculations for index products and included as a field in the data files listed below. The code change addressed situations where expirations with wider quotes resulted in no implied underlying being calculated and where there wasn’t agreement on the forward price within an expiration.  We relaxed certain quote width requirements to better generate implied underlying values for those situations.

  • Option Quotes Intervals with Calcs
  • End-of-Day Option Quotes with Calcs