That's not how it works. I know the guys at TOS, use to spend time in their office in Chicago. I know their developers too since I've worked with them. They are just using standard off the shelf stuff that is not terribly accurate and the avg weekend warrior retail trader is more interested in colorful charts and alarm bells then dedicating more resources to option pricing which 99% of members of this board don't even have a foggy clue about it. It's a resource allocation issue. I'm glad you could learn something today.
The option simulator from ToS is mediocre to say the least, most of the IV calculations for index options are wrong in fact, and it doesn't really do any vol surface simulation at all. So if you want to see effects of big drops you have to manually adjust the IV in the settings, and that is just ATM IV, you can't even adjust Skews or anything like that. So as Maverick says, if you are really interested in correct results you pretty much have to write your own simulation engine. I have my own pricing/vol surface engine written in R, and a most of my friends that make a living with options have their own too (in excel, R, matlab whathever works).
Honored that I see two posts of the rare 1% (I'm not sure where Mav came up with that nbr - this seems to be another broad statement without any foundation but hey - he didn't choose the nickname without a reason - he is a maverick after all) who claim to understand option modeling - must be my lucky day. An option volatility model is exactly that - a model (not to be confused with reality) - hence the diff across the platforms - which by the way are minimal. I look at three diff models (IB, ToS and LiveVol) yet very similar overall results - All three seem to have good real life pedigree and I'd take any of theirs over any of yours any time - but I know you probably look at R and Excel as superior to purpose built platforms as well. Now (in your opinion only) obviously they can't compete with Mav's spreadsheet or your R implementation but as far as your points go I can just say RTFM. NO (as in 0) models will be able to predict the exact IV changes on big price drops - just like NO (as in 0) models predicted the increase in vol without the price change in SPX due to the brexit concerns - hence why you have the adjustment capabilities. I hope that makes sense and even you understand that and you don't come back and tell me that your model actually predicted the recent increase cause that's as much BS as Mav claiming that he coached the ToS team (Preston was behind a lot of the modeling there and he again has the pedigree - mid term floor trader - degree in advanced math) and then flew to Russia to meet with Sergei, Michael and Roman the core developers of the platform - or they happened to be in Chicago when he coached them - who knows. He probably chatted with the receptionist - she had an accent and he figured she's a developer. After you've read the manual you'll see that in ToS for example yes you can do vol surface simulations - no they don't spit out a 3d graph as a result - yes you can adjust the skew (just put them into diff groups for the same exp series or hit the "more parameters button if you want to adjust across exp series without changing the skew within the series). You two guys are clowns if you think your home grown spreadsheets make a difference - yes you may like them and understand them better but there's nothing that you guys bring to the table that is not already incorporated into any of these platforms
LOL. That single guy is a PM at a muti-yard hedge fund and that spreadsheet is backed by a (1) marks from a desk that trades this particular product and (2) high-end quant library. I'd expect it to calculate a correct forward (which most retail platforms don't bother with), proper skew delta (again) etc. Even then, I'd venture that his spreadsheet is not as smart and sophisticated as the tools that a vol specialist would use (e.g. I doubt he has a vol backbone model or any sort of fair TS model).
Vega risk..yeah that's a big one. I was not aware of that until I ran the numbers and saw that the leaps lose a lot of money. Crap. I'm using getvolatility.com to simulate trades
Didn't see this posted but Karen the Supertrader got deep in trouble in the Aug fiasco and she was selling the 5 deltas. https://www.sec.gov/litigation/complaints/2016/comp-pr2016-98.pdf