Huge Delta/Risk discrepancy between IB and ToS

kcgoogler

kcgoogler

Hi all,

I have somewhat of a very spread out position in /ES and there is a huge discrepancy between the deltas shown between ToS and IB. Its a huge difference and based on my experience from the past i believe the tos numbers better.. but wonder if there is a setting somewhere in IB that can make the greek calculations different so they match that with tos.

In general i have seen this difference where there are a large number of small delta wings (long or short; long in my case) - which i think is throwing the IB risk metric calculation significantly off. The scale of discrepancy is significant; for example when tos is showing a delta of say -700 (SPY beta weighted), IB is showing like -1500.

Anybody got any insights? Specifically if anything can be done to IB to make the calculations match that of ToS.


Regards!
-gariki
 
The numbers should match exactly if they are using the same pricing formula of which there are many. TOS allows you to choose which model you want to use. Simply ask IB support what model they are using if it's not already mentioned somewhere on their website. The model is very important. Some people like to use different models for equities then for say futures or bonds/FX. Start with that. If the model is the same, the results are the same. If you give me the model, I can build it on excel.
 
kcgoogler said:
Hi all,

I have somewhat of a very spread out position in /ES and there is a huge discrepancy between the deltas shown between ToS and IB. Its a huge difference and based on my experience from the past i believe the tos numbers better.. but wonder if there is a setting somewhere in IB that can make the greek calculations different so they match that with tos.

In general i have seen this difference where there are a large number of small delta wings (long or short; long in my case) - which i think is throwing the IB risk metric calculation significantly off. The scale of discrepancy is significant; for example when tos is showing a delta of say -700 (SPY beta weighted), IB is showing like -1500.

Anybody got any insights? Specifically if anything can be done to IB to make the calculations match that of ToS.


Regards!
-gariki
More...

Are these options going out more than three months?
 
Maverick74 said:
The numbers should match exactly if they are using the same pricing formula of which there are many. TOS allows you to choose which model you want to use. Simply ask IB support what model they are using if it's not already mentioned somewhere on their website. The model is very important. Some people like to use different models for equities then for say futures or bonds/FX. Start with that. If the model is the same, the results are the same. If you give me the model, I can build it on excel.
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Hello John,

I've tried all 3 models on ToS and the differences are smallish (5-10 deltas in ES). Not sure what IB uses; also if you want to play with here is my current net June positions export from ToS. Wont show my entry positions but current prices. See what delta you get to? Right now in tos the three models are showing 90-100 deltas (ES) and IB is showing 160.

ps: ET is not taking the file export. Here is a copy paste.

SELL -2 /ESM6 1/50 JUN 16 /ESM6 1800 CALL @245.50 LMT
SELL -2 /ESM6 1/50 JUN 16 /ESM6 1810 CALL @243.50 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1830 CALL @214.00 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1840 CALL @204.25 LMT
SELL -3 /ESM6 1/50 JUN 16 /ESM6 1860 CALL @185.00 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1870 CALL @175.50 LMT
SELL -3 /ESM6 1/50 JUN 16 /ESM6 1880 CALL @166.00 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1890 CALL @156.50 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1920 CALL @128.75 LMT
SELL -3 /ESM6 1/50 JUN 16 /ESM6 1930 CALL @119.75 LMT
SELL -2 /ESM6 1/50 JUN 16 /ESM6 1950 CALL @102.25 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1970 CALL @85.25 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 1980 CALL @77.25 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 2000 CALL @61.75 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 2040 CALL @34.50 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 2050 CALL @28.50 LMT
SELL -3 /ESM6 1/50 JUN 16 /ESM6 2060 CALL @23.25 LMT
SELL -8 /ESM6 1/50 JUN 16 /ESM6 2070 CALL @18.50 LMT
SELL -6 /ESM6 1/50 JUN 16 /ESM6 2080 CALL @14.25 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 2090 CALL @10.50 LMT
BUY +3 /ESM6 1/50 JUN 16 /ESM6 2110 CALL @5.50 LMT
BUY +4 /ESM6 1/50 JUN 16 /ESM6 2120 CALL @3.75 LMT
BUY +11 /ESM6 1/50 JUN 16 /ESM6 2130 CALL @2.55 LMT
BUY +12 /ESM6 1/50 JUN 16 /ESM6 2140 CALL @1.70 LMT
BUY +20 /ESM6 1/50 JUN 16 /ESM6 2150 CALL @1.15 LMT
BUY +43 /ESM6 1/50 JUN 16 /ESM6 2160 CALL @.80 LMT
BUY +52 /ESM6 1/50 JUN 16 /ESM6 2170 CALL @.60 LMT
BUY +7 /ESM6 1/50 JUN 16 /ESM6 2180 CALL @.45 LMT
BUY +2 /ESM6 1/50 JUN 16 /ESM6 1700 PUT @.90 LMT
BUY +3 /ESM6 1/50 JUN 16 /ESM6 1710 PUT @1.00 LMT
BUY +1 /ESM6 1/50 JUN 16 /ESM6 1720 PUT @1.05 LMT
BUY +2 /ESM6 1/50 JUN 16 /ESM6 1730 PUT @1.15 LMT
BUY +2 /ESM6 1/50 JUN 16 /ESM6 1740 PUT @1.25 LMT
BUY +3 /ESM6 1/50 JUN 16 /ESM6 1760 PUT @1.45 LMT
BUY +5 /ESM6 1/50 JUN 16 /ESM6 1780 PUT @1.75 LMT
BUY +1 /ESM6 1/50 JUN 16 /ESM6 1850 PUT @3.50 LMT
BUY +2 /ESM6 1/50 JUN 16 /ESM6 1870 PUT @4.35 LMT
BUY +3 /ESM6 1/50 JUN 16 /ESM6 1900 PUT @6.25 LMT
BUY +1 /ESM6 1/50 JUN 16 /ESM6 1930 PUT @8.75 LMT
BUY +2 /ESM6 1/50 JUN 16 /ESM6 1940 PUT @9.75 LMT
BUY +1 /ESM6 1/50 JUN 16 /ESM6 1970 PUT @14.00 LMT
BUY +12 /ESM6 1/50 JUN 16 /ESM6 1980 PUT @16.00 LMT
BUY +8 /ESM6 1/50 JUN 16 /ESM6 2000 PUT @20.50 LMT
SELL -3 /ESM6 1/50 JUN 16 /ESM6 2010 PUT @22.50 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 2020 PUT @25.50 LMT
SELL -7 /ESM6 1/50 JUN 16 /ESM6 2030 PUT @28.75 LMT
SELL -4 /ESM6 1/50 JUN 16 /ESM6 2040 PUT @32.50 LMT
SELL -2 /ESM6 1/50 JUN 16 /ESM6 2050 PUT @36.75 LMT
SELL -4 /ESM6 1/50 JUN 16 /ESM6 2060 PUT @41.25 LMT
SELL -3 /ESM6 1/50 JUN 16 /ESM6 2070 PUT @46.00 LMT
SELL -6 /ESM6 1/50 JUN 16 /ESM6 2080 PUT @51.50 LMT
SELL -1 /ESM6 1/50 JUN 16 /ESM6 2090 PUT @57.75 LMT
SELL -13 /ESM6 1/50 JUN 16 /ESM6 2100 PUT @64.75 LMT


pps: I posted and checked tos for delta and now its showing like 60 short. Within the same software thats a big change given ES didnt move much either; currently at 2040 (for the past few minutes). Amazing.
 
Maverick74 said:
What in green heaven's is that thing? LOL. Good Lord.
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just some short prem mav. Your book must be similar. a butter here, a ratio there so on.. :)

Mav, your excel, is it the hoadley. net one? or something more proprietary? with tos also showing such different deltas i am wondering if its any better.
 
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kcgoogler said:
just some short prem mav. Your book must be similar. a butter here, a ratio there so on.. :)

Mav, your excel, is it the hoadley. net one? or something more proprietary? with tos also showing such different deltas i am wondering if its any better.
More...

I'm actually long vol. I try to keep things simple. That's a lot of commissions and a lot of spreads you are giving up doing those 26 legged monster. Be careful. There are a lot easier ways to sell vol. LOL.

Yeah I'll be honest, those are too many options for me to look into. I have several excel sheets that can price options: black scholes, black, binomial, etc. None of them are Hoadley's although I assume that is what he is using. I can pick one of your options after the close and put it in and see what vol it spits out using the Black model which is most widely used for futures. The best thing to do is call IB and just ask them what they are using. You really need to have your own excel sheet anyway. Because you don't know if there is a bad mark throwing off your position which is likely the case. For the deep out of the money options they might be pricing them off last traded price which might be by appt only. So this is why it's just better for you to have your own model. I would never rely on a retail broker's calculations especially if I didn't know how they were doing their calculations. Such as off mid price, last traded, mark to market, etc.
 
Maverick74 said:
Also, why are you selling vol at the lows?
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Mav, I hear you. Not selling them at lows; been selling them at 30 and 25 and 20 and 15. Cant wait and not sell when its at 15 cause if it sits here for an year or goes from here down to 12 and stays there for 2.. who's gonna pay the bills :). That said i do backoff from time to time when i have a big enough position for any expiry cycle.

And short vol mostly because of theta. Yes yes; i know its not really an edge. But i am just executing and trading a bunch of backtested strats that have been holding me up well.

Also, its not all short vol either; there are a bunch of ratios (long more); and i try to gamma scalp those but as of now but they havent been too profitable yet. And as of recently, with vol lower, i have been adjusting with more long gamma than short.
 
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Well I assume it's going to work very well as long as the vix trades lower. When the vix spikes though it can be a mess trying to handle 40 or 60 different strikes. I'm just saying there are easier ways to do this. But back to your deltas, shoot IB an e-mail or see if google shows up anything as to what model they are using and how they mark their positions. On tos for example, you can actually select how you want your positions marked which is nice. You might be able to do that on IB as well.
 
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