IV from ThinkOrSwim vs. IBKR

Discussion in 'Options' started by ET180, Feb 19, 2021.

  1. .sigma

    .sigma

    I’ll take the other side of this, now we have a market ;)
     
    #11     Feb 23, 2021
  2. Matt_ORATS

    Matt_ORATS Sponsor

    It looks like the TOS monthly summarized implied volatilities are off from the 50 delta readings in their individual options.

    For example, here is the Mar-19-21 with monthly IV=22.78% and the 50 delta 387 strike calls at 18.11% and puts at 18.48% and the 388s at 17.73% and 18.22%
    [​IMG]

    ORATS Mar-19-21 monthly IV is 18.3% with the 387 call and puts 18.6% and 18.7% and 388s at 18.2% and 18.3%.
    [​IMG]

    [​IMG]

    Fidelity, for another point of reference is 18.0% for the 387 and 17.6 for the 388s.

    Similarly, TOS Apr-16-21 monthly IV is 24.59% and 387 call/put is 18.6% and 18.8%, and 388s are 18.37% and 18.53%.
    ORATS is 18.6% monthly and 387 18.8% and 388s at 18.5%.
    Fidelity's 387s is 18.8% and 18.6%.
     
    #12     Feb 23, 2021
    Atikon likes this.
  3. deltaf0rce

    deltaf0rce

    It’s because TOS doesn’t use black scholes.
     
    #13     Feb 24, 2021