Different IB accounts, different deltas ?!?

Discussion in 'Options' started by luisHK, Apr 27, 2013.

  1. luisHK


    On Friday I was checking ES may 03 1545 put on 2 IB accounts, both on option trader , 1 account showed a 0.21 delta and the other 0.16.

    How come, and how reliable is the greek info on Options Trader ?

    I also noticed very different IV on some index futures and their ETF equivalent . I thought this might come from poor settings from my part but the deltas should definetely be the same
  2. You may have inadvertently checked the delta when the electronic market was still trading. If you check the delta during the weekend, it should not change between accounts.
  3. TskTsk


    not very much at all
  4. luisHK


    I've just checked and get different values when pressing "Load my chain", right now around 0.20. Yet if I only open the may 03 chain, 1545 put delta is showing 0.05 in both accounts. Quite a significant difference.

    IV is the same in either case, 15.33
  5. Brighton


    Have any of you had success in getting a meaningful, i.e. accurate, historical volatility from IB when you have a few futures contracts displayed in the upper box of Option Trader or perhaps many futures contracts in a Watch List?

    In my experience, IB or some gremlins residing in TWS grab a single HV figure from somewhere and that's what gets displayed for ALL contract months for the same commodity. I might have four silver futures contracts in Options Trader and 12 natural gas contracts on a Watch List and whatever HV pops up for the first contract in the list, populates the rest of the list with the same number.

    It's maddening so I've turned HV off because the numbers are garbage. I don't know why this is so hard for IB to get right -- 20, 30, 50 and 100 day HVs are fairly standard measures for stocks and futures and a lot of websites/applications let you display all those at the same time and/or one or more HVs of a custom length.
  6. I wonder if the delta you get when you press "Load my chain" is the delta of the option when you opened your position?
  7. luisHK


    No, those were atm puts when I sold them. Besides regarding the HVs there are pretty confusing as well. Any chance to configure a 30/90/352 or whatever days HV through TWS ?
  8. froluis


    Pnl calculation is confusing as well, I get different pnl in the risk navigator or in the options trader quote panel. Is there a way to get the profit and loss calculated on "mid-point"?
  9. I have never seen a delta at IB that matched any other software package.

    We need to use IB as a broker to place orders, nothing more.
  10. phili


    Not familar with IB but most chains will differ depending on if your buying or selling. I.E. if your selling the the delta is calculated on the bid.
    #10     Apr 28, 2013