Pricing Formula Black-Scholes (Underlying Price)

Another question: What accuracy do you require for the spot price of the Underlying coinciding with the Option feed? Since you state you pull down the entire option chain each time, you should be able (with adequate processing and robust algo) to derive very reasonable underlying price estimations! -- It is not yet clear why you need the underlying price and what you intend to do with it. Understanding that better COULD result in a better solution.
Also, curious what broker you use and why their data is not adequate resulting in the need for a service for obtaining delayed option pricing. (that data is Free via TOS)
 
Just to throw another few problems in the mix...

While perfectly doable, extracting the spot from options prices means you assume the midpoint in bid/ask is perfect... which it isn't... if the spread of the options prices allows the MM to use a sligthly wider spread, they will use a small threshold of movement in the underlying spot.

So for ITM, where usually the spreads are wider, they could use a fairly large threshold to update the price. The spot could move 5 cents or maybe even more and the options price will stay the same. They do this to minimize the data/traffic send.
The best way to extract the spot is to look at the ATM call and put, but again the midpoint isn't always based on the exact spot.

And when there's dividends involved, there is a lot more to it than just adding the div in the mix... Call options prices react very differently to a dividend.... isn't as straightforward as you think...
 
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