**Recalculation Triggers**

Recalculation of the bid, strike(mid), and implied volatilities and Greeks for a given option contract are triggered in 3 different ways. Once triggered, the IV's and Greeks are recalculated in real-time.

1. automatic daily recalculation at open

2. anytime contract bid or ask price changes at all

3. if underlyer price changes by a certain number of basis points - currently set to 10 basis points = 0.01%, with a minimum price threshold of $10.00 = $0.001 change.

**Implied Volatilty Calculation**

The bid, strike(mid), and ask IV's are calculated using an iterative bisection method and Black-Scholes pricing model (see separate article).

The Black-Scholes formula is seeded with time to maturity, underlyer price, strike price, risk free return (3 mo treasury), underlyer dividend yield, call/put, and the last bid/strike/ask IV. On each iteration, the estimated price is calculated using the Black-Scholes formula with revised IV until the price converges to within 0.01% of the actual current bid/strike/ask price.

Note that the strike(mid) IV price = mid-price of bid/ask if extrinsic value > 0, otherwise uses ask price (and will be the same as Ask IV in this case).

**Greeks Calculation**

Once the implied volatilities are calculated, the following greeks are determined using the derived strike(mid) IV and the same Black-Scholes model seeded as per above. See separate article for the formulas for each greeks.

Delta

Gamma

Theta

Vega

Rho