"Official" sites for options greeks?

Discussion in 'Options' started by rselitetrader, Mar 23, 2007.

  1. Hi all:

    I have seen wildly different options Greeks on different sites on the same day. For example, delta for DIA on website 1 and website 2 can differ by 0.05 at the day's closing, assuming they both refer to the delta on the same underlying on the same day.

    Which sites offer reliable info on options greeks? CBOE? I am also looking for sites that offer more statistical info on the Greeks -- e.g., moving averages on delta and gamma and vega, percentile ranking of volatility, graph of volatility, etc.

    Thanks in advance on any suggestions.

  2. For what volatility? When I compute greeks on a single strike, I'm using the midpoint of the bid/ask to get the implied volatility, then plugging that back in. Some may use bid, some ask, some last. Some may compute the IV for the entire expiration month using a weighted average.

    No one way is right or more correct than another. There's no such thing as an "official" greek--the way you tweak your model is key.

    ivolatility.com has a bunch of historical IV data and may have the graphs you're looking for. Realistically, however, moving averages of delta, gamma, vega is probably not very useful. Small movements in the underlying can cause large, nonlinear, movements in the greeks. A linear moving average of nonlinear data is perhaps not so useful.
  3. Your values for your Greeks will depend on the underlying assumptions of your model (volatility, interest rate, etc).

    As a result, it is common for the Greeks to differ from model to model. Hell, two traders standing next to each other in the same options pit frequently have different Greeks. So you shouldn't be surprised that two different sites have two different values for delta. In fact, you should probably be surprised that they don't differ by a larger margin.
  4. Besides interest rate, it depends on your pricing models. Different models give me close but not the same delta. In addition, there is dividend that most web sites don't bother to enter to the model.
  5. Thank you all for your replies.

    Besides ivolatility.com, which other sites are commonly recommend to get info on implied volatility and historical volatility for the past, say 500, days? I can't imagine calculating IV daily for 500 days.

  6. Try www.cboe.com

    They have a lot of historical data on that site.