I am using OptionMetrics data for SPX options. When I use the implied volatility from the database to calculate the fair prices of options, I consistently get high prices (somewhat above the lowest asking price for both puts and calls). I am trying to figure out what might be causing these high prices. For dividends, I have treated them as continuously compounded using the dividend yield also provided by OptionMetrics. Since both puts and calls are overpriced, I assume that dividends are not the problem...perhaps my time to expiry is being calculated wrong? For time to expiry, I take the number of weekdays between the current date and expiry and divide by 252.Thanks!

What maturity are you pricing? And are you aware how OptionMetrics is backing out the vols? Are they using dividend yield model as well to invert because discrete dividends model vols are slightly different (although lower so it will underprice while you are overpricing) and are they using business day vols not calendar day vols?