Options Data Handling

V

Viperace

I just got the raw historical option data that has bid and ask prices.

For a same maturity/strike, there are 4 prices (call/put and bid/ask), how should we back-out the implied vol?

- Get the mid price, get IV for call and IVput, average them?
- Get IV for all four, and average ?
- Others?
 
There are an infinite number of possibilities. You will have to decide for yourself. It gets a lot trickier the wider the spread and the less liquid the option. Also, put-call parity is often "violated" for very valid reasons.
 
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