This may be a bug. But you could also look to see how its behaving with the following two variations :
(1) keep it as an option but put the Vols to Zero
(2) change pricing model to Intrinsic
In both cases (1) and (2) try two scenario’s :
Scen 1 : change the price and see at what range/point you start getting incorrect values.
Scen 2 : remove/change the collars
This way you can isolate the issue & at which point it occurs. Should also help determine whether what you are seeing is a Bug.
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