IV from ThinkOrSwim vs. IBKR

[.sigma]

Buy in IB .... sell in TOS ... LOL

I’ll take the other side of this, now we have a market

 

[Matt_ORATS]

I'm sure you have things to do Matt . A couple traders realized that different brokers have different IV values for the same underlyings at the same PIT, it may be something you guys find interesting as a blog post material. Compare which broker has the most accurate IVs with your IV values as the benchmark

It looks like the TOS monthly summarized implied volatilities are off from the 50 delta readings in their individual options.

For example, here is the Mar-19-21 with monthly IV=22.78% and the 50 delta 387 strike calls at 18.11% and puts at 18.48% and the 388s at 17.73% and 18.22%

ORATS Mar-19-21 monthly IV is 18.3% with the 387 call and puts 18.6% and 18.7% and 388s at 18.2% and 18.3%.

Fidelity, for another point of reference is 18.0% for the 387 and 17.6 for the 388s.

Similarly, TOS Apr-16-21 monthly IV is 24.59% and 387 call/put is 18.6% and 18.8%, and 388s are 18.37% and 18.53%.
ORATS is 18.6% monthly and 387 18.8% and 388s at 18.5%.
Fidelity's 387s is 18.8% and 18.6%.

 

[deltaf0rce]

It’s because TOS doesn’t use black scholes.