IV from ThinkOrSwim vs. IBKR
- Thread starter ET180
- Start date
What's TWS show now?
Mine's fine:
Mine's fine:
That was most of the issue. It's a lot closer now. However, I still see a delta between TOS and IBKR. For example:
Current SPY March IV:
IBKR = 17%
TOS = 22.04%
SPY April IV:
IBKR = 18.6%
TOS = 24.19%
Current QQQ May IV:
IBKR = 26.6%
TOS = 31.59%
That's a pretty big difference. So IB is consistently lower than TOS. I suspect that it has something to do with how many strikes are used in the IV calculation.
Stock IV is a combination of a lot of factors. How many expirations? How many strikes? Which price—Bid? Ask? Midpoint? Last trade? What risk free interest rate? Which dividend rate? Which options pricing model? If you can answer all those you will know where the difference comes from.
If you know the IV, strike price of a given option, underlying price, time to expiration for a given expiration, and risk-free interest rate, you can use the Black-Scholes pricing model to derive the calculated price of the option as well as the greeks. If I do that with IB's IV vs. TOS's IV, IB is closer to the actual option price at time of calculation. At least for the 5 major stock and ETFs that I compared.
for 0dte TOS>IB, if @Matt_ORATS could make a case study for their blog along the term structure, that would be great. Etrade and TOS have the same IV's IME, others differ widely
Last edited:
Matt_ORATS
Sponsor
Thanks Atikon, I didn't have anything to do today...
What do you mean by - make a case study for their blog along the term structure? Is that comparing the brokers or just showing our levels?
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