Dated entries on building the volatility system: what I tried, what I expected to happen, what actually happened, and what I had wrong. Negative results are entries too — most of them will be.
Option NBBO is a 403 on this data tier, so implied volatility is inverted from last trade or day close rather than from a quote midpoint. The consequence is not merely noisier numbers — it invalidates one of the three daily identity checks whenever either leg of a pair is a stale print, and it makes the spread-based cost model uncalibratable rather than approximate.
Option day bars reach back to 2022-08-31 and can be rebuilt from the vendor archive at any time; chain snapshots exist only from 2026-08-31 because there is no historical snapshot endpoint. That asymmetry, not storage cost, is what limits which backtests this system will ever be allowed to run.
The term structure inverts both the call and the put at the at-the-money strike and writes out both. When put-call parity happens to select that same strike, the two legs invert to identical volatilities as an algebraic identity — so their agreement proves nothing, and only the dates where the two strikes differ carry information.
This page was last updated . Entries are never revised silently; a correction is a new dated commit.