Estimating Missing Option Prices from Intraday Underlying Data

Summary

The document considers how to estimate an option’s price at times when the underlying asset has tick data but the option itself was not observed. It suggests estimating implied volatility from times when both prices are available, then using that volatility with the underlying price at the missing timestamps to calculate estimated option prices. Linear interpolation between observed option prices is offered as a simpler alternative that may be close in some cases.

These are brief suggestions rather than a tested comparison: the document provides no examples, error measures, or conditions showing when interpolation is sufficiently accurate. The implied-volatility approach is framed for tracking the same option over time. It does not establish that the volatility estimate can be transferred across strikes or expiries, or explain how to handle changing volatility, sparse observations, or market frictions.

Key ideas

• Implied volatility inferred when option and underlying prices are both observed can be used to estimate the same option at other times.
• Linear interpolation between observed option prices is another suggested way to fill gaps.
• The discussion distinguishes estimating one particular option from inferring prices across strikes or expiries.
• The document gives no empirical comparison of the suggested approaches.

Tags

# Finding option price using intraday data


# Finding option price using intraday data












I have the option price at a rate which is much smaller than the rate at which I have tick data for the underlying. If I have option price at times $t_1, t_3, t_5$ and I have tickdata at $t_1, t_2, t_3, t_4, t_5$ can I find the option price at $t_2, t_4$ ?

## Answer by kurtosis (score 1, accepted)

https://quant.stackexchange.com/a/57958

Why not? You can back out implied vol from the times you do have for the underlier price and then use that to price the options for the times you do not have. (This is assuming you are taking about pricing one particular options, not using options of one strike and expiry to price options at an other time, strike, and expiry.)

You could even do a linear interpolation and probably get very close.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.