Serious Options Data differences between ToS and Interactive Brokers

C

Caporetto

I have been noticing some serious data discrepancies between these two companies and I have no idea which one is right.

Example: May 2016 Heating Oil 1.3 Strike Last: .0360 Spot Price: 1.2452
TOS: IV: 37.11 Delta: .38 Gamma: 2.59
IB: IV:(I cant see the IV because Im on a demo) Delta: .2493 Gamma: 4.3046

Before you say "its because your on a demo" I really doubt it. Since they are both currently showing .0360 last price and both have same bid and ask.
Any idea why these Greeks are so far apart from each-other?
I ran the TOS data through an options calculator and it comes back as accurate.
Any insight into this would be appreciated.
 
Which algorithm did you select in TOS for use in your Greeks? -- Individual IV, Volatility smile approximation, or fixed per dte? -- Compare settings which what IB uses (I do not use IB, so don't know their platform) <-- This is a guess at what may be happening.
 
See my current setting below for reference:
upload_2016-3-21_10-50-48.png
 
Thanks for the info guys. Tos is on Individual Implied Vol. Any way to change ToS from 365 to 252? Or IB to 365? I mean I guess I could always us a options calc that lets me change the days from 365 to 252, but that would be time consuming.
I messed around with the DIff setting in TOS and didnt get anywhere near IB data.
 
Caporetto said:
I have been noticing some serious data discrepancies between these two companies and I have no idea which one is right.

Example: May 2016 Heating Oil 1.3 Strike Last: .0360 Spot Price: 1.2452
TOS: IV: 37.11 Delta: .38 Gamma: 2.59
IB: IV:(I cant see the IV because Im on a demo) Delta: .2493 Gamma: 4.3046

Before you say "its because your on a demo" I really doubt it. Since they are both currently showing .0360 last price and both have same bid and ask.
Any idea why these Greeks are so far apart from each-other?
I ran the TOS data through an options calculator and it comes back as accurate.
Any insight into this would be appreciated.
More...
I've recently looked at greeks values in ToS and IB and they've always tracked closely. This includes IV and delta. I haven't looked at gamma.

ToS lets you choose which model to use (Bjerksund-Stensland vs Black-Scholes) but IB doesn't have that choice. I *think* IB uses Black-Scholes and that does make a difference.
 
Okay so I have looked into it. ToS only uses Bjerksund-Stenslad for IV.
But for some reason everything is all synced back up. I even got a demo of CQG trader to verify and everything is back withing 1.5% so I must have been getting bad data from IB for some reason ( probably due to it being a demo account). Thanks for the info everyone it was helpful.
 
Caporetto said:
and everything is back withing 1.5% so I must have been getting bad data from IB ...
(probably due to it being a demo account)
More...
OMIGOSH:How many times has this "bad data" from IB demo accounts been raised ?
 
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