IB TWS Vol Surface tool question

[hardtofin]

Hey guys,

Ive just been having a look at the new vol surface tool in IB and had a quick question. For commodity options like CL (Oil) you have to generate the surface off the underlying future which makes sense.

However, when i generate the JUN future which ONLY has the May options off it, i see different vols for 3 days out and 9 days out. Is this showing my the IV now (on the 3 day) and what the IV should be at day 9? Or is this just a quirk of the software and it's not mapping it properly?

Usually if you enter a stock, for example AAPL. You just put in the underlying stock name and it will show you the surface for every single options series off of it going out a couple of years, but with commodity options its different because each option series is off a specific future.

I have enclosed a screenshot.

Also, does anyone know if IB just uses standard black-scholes for all options? I was wondering if i could use black 76 for commodity options?

Many thanks for any help you can give.

hardtofin

 

[tommcginnis]

Remember that things are a mite bit funky in the commodities space:
if you double-click on the CLJune line, you'll find it expires in May.

Does that help?

(Haven't played with this new TWS toy yet, myself. Oh, and while I *believe* the TWS values derive from the standard BSM PDE, I don't know of where you might specify Black'76.)

Regardless, GOOD LUCK today! Woot!

 

[hardtofin]

Hi there,

Yes, i'm aware of this. The ONLY options priced off the June future are the May series which expire on the 17th May. The underlying future itself expires on the 22nd May.