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Nimbus3000
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Posts: 53
Joined: February 13th, 2013, 8:10 pm

When to sample data for IV Curve

April 27th, 2020, 2:13 pm

What is a good process to sample data (option prices and the corresponding underlying prices) to calculate implied vols and the IV curve. I mean the problem I am facing is this: say i sample the prices (bid and offer prices for options and underlying) at a time t. Now, I dont know what happened just before t. If there was a large change in the underlying prices due a large order, then the curve i would end up with would be out of sync with the "actual" curve in the market. Also, if I sample a number of points, I might be able to reduce this effect, but might not be able to totally get rid of it if such a scenario keeps repeating.
Does anyone have pointers to share?
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: When to sample data for IV Curve

April 27th, 2020, 7:42 pm

You might try to learn how the CBOE samples for its 1345 timestamp data ("EOD options with Calcs" in their terminology). I have used these data sets for SPX options and they are generally quite clean. I don't know if they will share any more details than are on the CBOE DataShop website, but at a minimum you could purchase a few sets and try to imitate (pricing is quite modest).
 
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Nimbus3000
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Posts: 53
Joined: February 13th, 2013, 8:10 pm

Re: When to sample data for IV Curve

April 29th, 2020, 4:29 pm

Thanks a lot Alan, I will look into it. A side note, I am looking at it in a high feequency context. Did you use it in a similar context?
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: When to sample data for IV Curve

April 29th, 2020, 6:08 pm

You're welcome. My application was the equity risk premium: here plus a new application (ERP during the pandemic): here 
 
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fomisha
Posts: 67
Joined: December 30th, 2003, 4:28 pm

Re: When to sample data for IV Curve

July 17th, 2020, 11:26 pm

There are several ways to address this problem, some work only in HFT context while other are applicable at the level of snapshot data as well.
PM me if you want to discuss.
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