Hey all,
I recently purchased level 2 1 year option data from delta neutral, and observed some strange spikes in IV in options with expiry of nearly 1 year out. These weird spikes seem to exist for nearly every option chain, and I want to know if this implies a problem in the data, or there's an actual explanation that I'm missing. I've attached some plots of option chains expiring on 3/19/21, with the data being collected from 2/14/21. The x axis here is just dates btw
I apologize if this is not the right place to post this.
I recently purchased level 2 1 year option data from delta neutral, and observed some strange spikes in IV in options with expiry of nearly 1 year out. These weird spikes seem to exist for nearly every option chain, and I want to know if this implies a problem in the data, or there's an actual explanation that I'm missing. I've attached some plots of option chains expiring on 3/19/21, with the data being collected from 2/14/21. The x axis here is just dates btw
I apologize if this is not the right place to post this.