Wallmeier, Martin 2024 For stock and index options in the US, OptionMetrics records prices at 3:59 p.m., not 4:00 p.m. as assumed in previous literature. The resulting one-minute time discrepancy with closing share prices creates artificial variability in implied volatility spreads and strongly affects market-wide spreads. It leads to particularly large distortions at the onset of the COVID-19 pandemic. For index options in Europe, OptionMetrics data show large deviations from put-call parity even though the original option prices match the parity exactly. Finally, the implied volatilities of stock options in Europe show clusters of exceptional deviations due to incorrect dividend information. application/pdf https://folia.unifr.ch/global/documents/328590 https://folia.unifr.ch/documents/328590/files/jfutm_2024_qualityissuesofimpliedvolatilities.pdf eng info:eu-repo/semantics/altIdentifier/doi/10.1002/fut.22495 info:eu-repo/semantics/openAccess License undefined The Journal of Futures Markets. - Wiley Periodicals LLC. - 2024, p. 1-22 Implied volatilities OptionMetrics Index options Put-call parity info:eu-repo/classification/udc/33 Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database http://purl.org/coar/resource_type/c_6501