GreeksIndicators Yeilds Implied Volatility with Zero Value for 0DTE SPXW in Live Mode

[AlexCatarino]

Expected Behavior

Non-zero IV and Greeks for 0DTE SPXW in live mode.

Actual Behavior

Zero IV and Greeks for 0DTE SPXW in live mode
QuantLib models have non-zero values and 1DTE with GreeksIndicators too

Potential Solution

Review implementation. It might be due to expiration since 1DTE works well.

Reproducing the Problem

class IndexOptionAlgorithm(QCAlgorithm):
    def initialize(self):
        Log.debugging_enabled = self.live_mode
        self.set_start_date(2024, 9, 1)
        self.set_end_date(2024, 12, 31)
        self.set_cash(100000)
        # Subscribe to the option chain.
        self._option = self.add_index_option("SPX", "SPXW")
        # Filter the option universe to only select 0DTE options.
        self._option.set_filter(-5, 5, 0, 0)
        #self._option.set_price_model(OptionPriceModels.QuantLib.black_scholes())
        self._dividend_yield_model = GreeksIndicators.get_dividend_yield_model("SPX")
        self._interestRateProvider = InterestRateProvider()

    def on_data(self, slice):
        if self.portfolio.invested:
            return

        dividend_yield = self._dividend_yield_model.get_dividend_yield(self.time)
        interest_rate = self._interestRateProvider.get_interest_rate(self.time)
        self.log(f'{dividend_yield=}, {interest_rate=}')

        # Get the option chain data.
        chain = slice.option_chains.get(self._option.symbol)
        if not chain:
            return
        
        for c in chain:
            self.log(f'{c.symbol} {c.implied_volatility} {c.greeks.delta}')

Deployed to QC Paper using Schwab data.

Checklist

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• I have provided detailed steps to reproduce the issue

[k1xme]

I came across with the same issue, but with the help of Claude Code for deeper debugging, it narrowed down the root cause to ImpliedVolatilityEstimation class. And this bug seems to show up for the monthly expiry dates only.

Common/Securities/Option/QLOptionPriceModel.cs (QuantConnect/Lean; image build 17679):

• L173 — initialGuess = Math.Sqrt(2 * Math.PI / maturity) * premium / spot produces an annualized volatility σ (Brenner–Subrahmanyam).
• L370 / L377 (the bug) — CreateBlackCalculator(forwardPrice, riskFreeDiscount, initialGuess/oldImpliedVol, payoff) passes that σ as the
  stdDev argument.
• L410-412 — CreateBlackCalculator(... double stdDev ...) => new BlackCalculator(payoff, forwardPrice, stdDev, riskFreeDiscount) —
  QuantLib's stdDev must be σ·√T, not σ. The √T is dropped (implicit T=1).
• L378 — the N-R step (black.value() - price) / black.vega(timeTillExpiry) is then O(1/√T)-inconsistent (value uses stdDev=σ; vega
  carries a √T).

For 0DTE (T≈1/365) this overstates the std-dev ~19×, the first step overshoots → clamps to 1e-7 → collapses to ≈0/NaN → greeks zeroed at
L266-274/L291. It only bites when the primary option.impliedVolatility (L212) throws and the fallback (L217) runs.

The fix line is unambiguous: L370/L377 should pass stdDev = σ · √timeTillExpiry.