Mid price vs micro price for IV calculation
Mid price vs micro price for IV calculation
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Arnav Singh · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Arnav Singh
Original post: https://quant.stackexchange.com/questions/85835
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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Is mid price or micro price better for IV calculation? Which is more commonly used in the industry? Micro price can be spoofed and quantities at the top of the order book can be somewhat misleading. For example, someone might bid for a small quantity and get placed at the top while there are bids with large quantities at the next few levels as well as an ask at the top with a large quantity.
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: Arnav Singh Source score (net votes, not local likes): 0 Original post: https://quant.stackexchange.com/questions/85835 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Is mid price or micro price better for IV calculation? Which is more commonly used in the industry? Micro price can be spoofed and quantities at the top of the order book can be somewhat misleading. For example, someone might bid for a small quantity and get placed at the top while there are bids with large quantities at the next few levels as well as an ask at the top with a large quantity.
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