TL;DR: I'm using a Python function to calculate implied volatility (IV) and greeks from historical options data. However, IV fails to calculate when the option's intrinsic value exceeds its market price. How should I handle IV in such cases so I can compute the greeks?
Details: Hi, I’ve been working with a dataset of historical options data that I download daily using a broker’s API—essentially capturing end-of-day snapshots after each trading session.
When I run this data through a Python function designed to calculate implied volatility (IV), I encounter an issue: IV returns no value for options where the intrinsic value is greater than the market price. As a result, the greeks are also not computed for those timestamps.
My question is: How should I go about calculating IV in these scenarios? Once I can obtain IV, the greeks should follow naturally.
