Ok, maybe not complete trash, but I am finding that I have to be more careful about what data is there and what questions I can ask of it.
For instance, the spot dates don't always correspond to an option date in a nice way, which adds a lot of noise when trying to cobble together meaningful time series. While the lags aren't awful: Lag (days) -> count of observations: 0: 217 1: 95 2: 16 3: 3 4: 2 8: 1 11: 1 They are bad enough to watch. In the chart I offered, for instance, the last midpoint call price corresponds to a date far enough away from yesterday to be misleading. I am sure there are some other nasty holes like that. In the meantime, I am trying to find better questions to ask. One question is how well delta acts as a proxy to probability, in practice. So far the evidence is that it is not very good at all for this data set until one gets out to about 75 DTE: ~0.5-delta calls empirical ITM: 0.22580645161290322 tenor=75: delta≈0.25: empirical ITM=0.500 tenor=75: delta≈0.35: empirical ITM=0.333 tenor=75: delta≈0.45: empirical ITM=0.500 tenor=75: delta≈0.55: empirical ITM=0.667 tenor=75: delta≈0.65: empirical ITM=0.500 Then it gets ok for a bit before getting bad again.
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