Hey guys, Ive just been having a look at the new vol surface tool in IB and had a quick question. For commodity options like CL (Oil) you have to generate the surface off the underlying future which makes sense. However, when i generate the JUN future which ONLY has the May options off it, i see different vols for 3 days out and 9 days out. Is this showing my the IV now (on the 3 day) and what the IV should be at day 9? Or is this just a quirk of the software and it's not mapping it properly? Usually if you enter a stock, for example AAPL. You just put in the underlying stock name and it will show you the surface for every single options series off of it going out a couple of years, but with commodity options its different because each option series is off a specific future. I have enclosed a screenshot. Also, does anyone know if IB just uses standard black-scholes for all options? I was wondering if i could use black 76 for commodity options? Many thanks for any help you can give. hardtofin
Remember that things are a mite bit funky in the commodities space: if you double-click on the CLJune line, you'll find it expires in May. Does that help? (Haven't played with this new TWS toy yet, myself. Oh, and while I *believe* the TWS values derive from the standard BSM PDE, I don't know of where you might specify Black'76.) Regardless, GOOD LUCK today! Woot!
Hi there, Yes, i'm aware of this. The ONLY options priced off the June future are the May series which expire on the 17th May. The underlying future itself expires on the 22nd May.