I downloaded the most recent version of TWS and have been messing around with this new component. So far, I like it, it has a number of IV and vol skew charts (snapshot and historical), option volume and open interest charts and a comparison feature where the IV can be plotted against industry competitors, industry ETFs or any symbol of your choosing. I've reviewed this document... https://www.interactivebrokers.com/en/software/tws/usersguidebook/mosaic/vollab.htm ...and I have a question: Is the IV used in the comparison charts (compared to competitors or benchmarks) and the IV used when a chart is drawn that includes IV, HV and the underlying's price, a blended/interpolated figure, like those provided by ivolatility.com or Live Vol? For example, I called up ORCL and for today it shows the "IV" (the IV that's always displayed as a thick white line) at 20.3%, which doesn't match any of the IVs for specific option months, which it shouldn't (or shouldn't very often) if it's an interpolated figure. I *think* this is how IB has put the component together, but I just want to make sure so I know what I'm looking at and can compare it to a 30-day IV figure from other providers. If someone from IB reads this, please let me/us know where that "comparison IV" comes from. Do you license it? Calculate in-house? I'm enthused about this component and if the data looks good, I might just buy an additional monitor to expand it and keep it "on top" all the time. Glad to see progress on the options analysis front. The colors and line thickness can be garish, but maybe they'll be adjustable later. Baby steps ...
Well, this isn't encouraging. In the attached image, the chart in the upper left is a time series of ATM IVs for particular option months. The chart in the upper right contains segments of the vol skew curves for the same option months. TSLA settled about $198 on Thurs 4/17 and if you look at the IVs associated with the $200 strikes on the vol skew chart, they are at least 10 points different than the ATM IVs on the time series chart. I checked two other large, liquid names - ORCL and WAG - and the same issue exists: large absolute gaps (and even larger on a percentage gaps) between two sets of charts that should have nearly identical ATM IVs.