Discussion Forum

I have cloned the OptionChainConsistencyRegressionAlgorithm and was trying to log IV on options data and i am getting zero.

public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested)
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
                {
                    // check if data is consistent
                    foreach (var o in chain)
                    {
                        Log(string.Format("chain:{0} Bid:{1} Ask:{2} IV:{3}", o.Symbol, o.BidPrice, o.AskPrice, o.ImpliedVolatility));
                        if (!Securities.ContainsKey(o.Symbol))
                        {
                            // inconsistency found: option chains contains contract information that is not available in securities manager and not available for trading
                            throw new Exception(string.Format("inconsistency found: option chains contains contract {0} that is not available in securities manager and not available for trading", o.Symbol.Value));
                        }
                    }

}

}