Re: [Quantlib-users] Query on the Option pricing traded with 0 time value

[Ashish B. <ash...@gm...>]

My message was not going due to the screenshots so sending again without
them.

Please guide.

Regards
Ashish

On Sat, Dec 17, 2022, 1:03 AM Ashish Bansal <ash...@gm...> wrote:

> Hi all, any views here?
>
> On Tue, Dec 6, 2022, 10:15 PM Ashish Bansal <ash...@gm...>
> wrote:
>
>> Hi All,
>>
>> In 1 of the exchange traded option market I see strange behaviour which
>> is failing our quantlib code to value the options. The put options for
>> nearby month are trading only at the intrinsic value with exactly 0 time
>> value although a good 1 month is remaining in expiry which is 4th Jan 2023.
>> Future quotes (underlying) as of 5th Dec:
>>
>> https://www.cmegroup.com/markets/agriculture/dairy/nonfat-dry-milk.quotes.html
>>
>> Option prices as of 5th Dec:
>>
>> https://www.cmegroup.com/markets/agriculture/dairy/nonfat-dry-milk.quotes.options.html#optionProductId=782&strikeRange=ALL&expiration=782-Z2
>>
>> Time value in the above trading: 16.425 - Max(160 - 143.575,0) = 0
>>
>> We are using the blackscholes engine with American option and using
>> option.impliedvolatility method to calculate the market implied volatility
>> for these options. For these options, we are getting runtime error as root
>> not bracketed error:
>> RuntimeError: root not bracketed: f[0.0001,4] ->
>> [6.394885e-14,5.818200e+01]
>>
>> How should we price these kinds of ITM options?
>>
>> Thanks
>> Ashish Bansal
>>
>