IV and Delta, after hours at retail brokers

B

Brighton

I have an IRA I'm moving from Scottrade to somewhere else. In addition to Scottrade, I currently have personal equity accounts at Interactive Brokers and OptionsXpress. I've got enough money at IB for now and I'm not crazy about OX, so I thought I'd look for a new broker for the Scottrade money. In poking around the websites/demo versions of OptionsHouse, TradeMonster and Think or Swim, I came across an interesting discovery.

This might not be news to those who are more experienced, but for those who don't have access to institutional quality software and data feeds and a back office that settles quickly, be careful about scanning options chains after hours but before final settlement. And be sure to know what your broker's software is doing with "last" and "mark" prices.

Based on the image below, the IVs and Deltas are more or less uniform across OptionsXpress, TradeMonster and Think or Swim. IVs from OptionsHouse and Interactive Brokers differ from the pack and IB is a bit off on Deltas, too.

Note: The sample stock is Intrepid Potash (IPI). It's been very volatile of late and its option volume is a fly speck compared to something like AAPL or GOOG. I haven't checked yet to see if all five brokers are uniform on a more liquid stock.

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On a related note, Scottrade has been fine for long-term investing but for any options activity outside of buying a P or C or a covered write, you have to move to their "Options First" platform. That's more paperwork, no promise of lower commissions (the rep said I would have to call my local broker and see if I could negotiate something) and, BTW, the platform is licensed from OptionsHouse. It even says "OptionsHouse" at the bottom.

:confused:

And the OptionsHouse platform, while faster than TradeMonster in my opinion, licenses its IV/HV graphs, Trade Probability Calculator and Trade P&L graphs (payoff diagrams) from ivolatility.com. They're OK, nothing fancy, but they're all separate pop-out windows. Maybe that keeps the main platform running faster, but I thought based on their founders (Peak6), they'd have some whiz-bang technology. I haven't seen it.
 
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