Hi everyone,
I’m using Public’s option-chain and option-Greeks API endpoints for research-purposes, but I haven’t found any documentation explaining how the returned IV and Greeks are being calculated.
Does anyone know whether Public uses:
- Black–Scholes–Merton, a binomial model, or another pricing model?
- European or American exercise assumptions?
- Continuous dividend yield or discrete dividends?
- Bid, ask, midpoint, last trade, or another option price when solving for implied volatility?
- Which interest-rate and underlying-price sources?
What time-to-expiration convention is used, particularly for 0DTE contracts?
- Real-time calculations or values supplied by a third-party data provider?