Huge Delta/Risk discrepancy between IB and ToS

[stevegee58]

Be careful changing which model you're using. Futures options (at least ES) are American settled and by definition you should be using Bjerksund-Stensland. Index options are European settled and by definition you should be using Black-Scholes.

This discrepancy could be something as simple as which spot price they use for the model. i.e. bid, ask, mid or last. If they're using last then it could be way off.

 

[kcgoogler]

Be careful changing which model you're using. Futures options (at least ES) are American settled and by definition you should be using Bjerksund-Stensland. Index options are European settled and by definition you should be using Black-Scholes.

This discrepancy could be something as simple as which spot price they use for the model. i.e. bid, ask, mid or last. If they're using last then it could be way off.

thanks stevegee58 and mav for the information. Just got off the phone with IB rep. Turns out they use binomial and black-scholes; one for equity and the other for futures; probably in the right order and they use mid price for the price of the option. so its probably some small difference that is causing them to be different due to the many legs and quantities.

 

[Maverick74]

For futures it is simply referred to as the Black model.

 

[stevegee58]

For futures it is simply referred to as the Black model.

Some call it the "BS" model too.

 

[blueplayer]

Be careful changing which model you're using. Futures options (at least ES) are American settled and by definition you should be using Bjerksund-Stensland. Index options are European settled and by definition you should be using Black-Scholes.

This discrepancy could be something as simple as which spot price they use for the model. i.e. bid, ask, mid or last. If they're using last then it could be way off.

Just one observation here, ES options are now mostly European style. The only american expiration styles that still remain are the quarterly expirations.