I am testing out Livevol Pro and have found that the volatilities and Greeks differ from what I see in thinkorswim. The volatility comparison can result in a ten point difference and the Greeks can differ by three to five points as well. Which is accurate? I understand IVs can be calculated differently but wouldn't the Greeks all be the same? In comparing the data from thinkorswim to optionsXpress the values are nearly identical. Why is everything so different on Livevol Pro?

There is like a million reasons why both implied vols and Greeks could be off from each other. (1) First suspicion would be that that forward prices are incorrect. Have you checked the dividend/borrow curves in both systems? (2) Then, I'd say time is the issue. Do you know, maybe one firm uses business days and other other uses calendar days for implied volatility calculations? (3) Then, there could be modelling differences. Do you know if both firms use proportional, fixed or blended dividends for pricing? (4) Risk calculations are not standard - my delta might be different then your delta. Do you know if both firms use perturbed inputs or simple black scholes greeks? Do they use fixed strike or floating stirke delta and gamma?

Not very useful... Unless you opine which methodologies are more correct... And which vendor is pushing out sub-optimal numbers.

Guys, I am blushing True, true. There are bits of it that are subject to opinion - e.g. what delta method to use or how to calculate time to expiration. Some issues would point out that the numbers are are simply wrong. I have not used any of the the mentioned vendors except for LiveVol (not impressed, to be honest), so it's hard for me to point out to who is doing what, but I can give some diagnostic points: (1) The put/call equality in vol should hold for most strikes if the forward price is calculated correctly. Something that's easy to check in 20 sec, pull down a long-dated ATM call and ATM put and see if the implied volatilities are the same. You have to use the right forward, otherwise your delta is also going to be incorrect - so whichever vendor is not using it should be shot. (2) You can easily check if they are using business or calendar days for time calculation. Take any weekly option for next friday - the difference is year fraction is meaningful (4 business days vs 6 calendar days). The vendor that's showing higher volatility is the one using the business days, since he has a lower normalization factor (divisor). I preferr using trading day time, some people even adjust it to reflect the number of trading hours left, but that is usually an overkill. (3) I would not concern yourself with the dividend model unless you are making markets on really long-dated options. As long as you both calculate vols and price using the same model, you'd be ok. In general, the MMs believe that the market is closer to fixed dividends, but somewhat proportional too. (4) If you are actually trading volatility (delta-hedge frequently), then risk calculation is part of your edge. E.g you can calculate delta based on higher vol, lower vol, including change of vol as the underlying moves, using sticky strike vol vs floating strike vol vs a back-bone model etc. It's just too much stuff to discuss here.

We bootstrap our own div curves, calculate our own vols, but then again, we are a proper hedge fund. If I had to pick a vendor, I'd say SuperDerivatives is the way to go, but they are not cheap.