---
title: Issues with Implied Volatilities
url: https://www.ml-quant.com/papers/ssrn/4780085/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4780085
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4780085
featured: 2024-04-03
citations: unknown
topic: Derivatives & Volatility
---


# Issues with Implied Volatilities

OptionMetrics records stock options prices at 359 p.m., not 400 p.m., causing changes in implied volatility spreads and affecting stock comovement, especially during the COVID-19 pandemic.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4780085
- Identifier: SSRN 4780085
- Released: 2022-03-22
- First featured: Quant Letter No. 43 (2024-04-03): https://www.ml-quant.com/issues/2024-04-03/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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