Error in YahooFinance market data

thecoder

thecoder

I just sent the following email to support @ yahoofinanceapi.com.

I simply don't/can't understand how such stupid bugs are possible at a data vendor...
The data below is from today shortly before market close, ie. around 15:52:45-EDT.
Same error is present also at their Finance website since it too obviously uses the same API.

I pay money for these data so that I don't need to compute these values like IV myself as it's timeconsuming.
But then it's of course not amusing when one gets the data without IV like in this case :-(

Hello,
I wonder why below impliedVolatility is not filled,
since all necessary data for calculating it is present: lastPrice, bid, ask, as well regularMarketPrice.
As you know, the below value of 1.0000000000000003e-05 is just a placeholder for zero.

{
"contractSymbol": "TAL211119P00100000",
"strike": 100,
"currency": "USD",
"lastPrice": 93.4,
"change": 0,
"percentChange": 0,
"volume": 2,
"openInterest": 0,
"bid": 95.3,
"ask": 95.6,
"contractSize": "REGULAR",
"expiration": 1637280000,
"lastTradeDate": 1629926714,
"impliedVolatility": 1.0000000000000003e-05,
"inTheMoney": true
}

Thx
 
Last edited:
I'm not sure this is bad data. When I look at the data on the Thinkorswim platform they don't have an implied volatility assigned to this contract either.
 
GaryBtrader said:
I'm not sure this is bad data. When I look at the data on the Thinkorswim platform they don't have an implied volatility assigned to this contract either.
More...
Thx for the feedback.
Maybe they all use the same (buggy) source :)
IMO the IV can easily be calculated from the available other data, so I wonder why they did not do. And the example shown was just one strike, but there are even more strikes
with such unfilled IV, all belonging to the same ExpDate (ie. data belongs to the same request).

I mean this: if there is a (Last,) Bid, Ask then the time of the last trade is IMO irrelevant since there is/are offers present in the book (otherwise Bid/Ask would be empty). So, then from Bid/Ask it's possible to calculate the IV... Why did they not do it? That's the question.

Maybe here one can see it better:
TAL_2021-11-19_as_of_2021-11-12-Fr-AH.png
 
Last edited:
You must log in or register to reply here.
Back
Top