I have the exact same issue. I was fine for months because i was operating on very liquid markets, but i now have some illiquid options again.
I tried for hours yesterday and simply could not get the greeks on 2-3 contracts.
I am using the?MODEL_OPTION_COMPUTATION?parameter on my reqMktData request, I expected it to be the less reliant on market liquidity, but it seems that i was wrong.?
Hope someone can clarify that for us.
