What does the IV for an expiration mean in TOS?

[LM3886]

TOS shows an IV value for each option, and also an IV value for each expiration. But I'm having trouble understanding what the IV for an expiration means. I thought it would be corresponding the ATM IV value of that expiration. but it doesn't seem to be the case in the screenshot I took. IV for expiration 08/09 is at top right, but it's no where close to any near-the-money IV values.

Could anyone explain what that value mean?

 

[stepandfetchit]

The IV value shown in TOS above and to the right of each Expriry represents what TOS uses as the current IV for that expiration. This value very closely approximates the value you would calculate if you use the CBOE VIX White paper method for computing the IV for a single expiration. (So, if your term happens to be precisely 30 Days to expiration and you are observing SPX, that value would be almost identical to the VIX calculated value!) -- Typically that value is close to the IIV of a PUT around 24-28 Delta for SPX. -- It is influenced by skew whereas ATM IV is not influenced by SKEW.

 

[guru]

What would be the point of displaying the same ATM IV in two places, at the ATM strike and then again for all strikes @expiry?

While ToS probably doesn't know how to calculate IV according to CBOE VIX white paper, because they can't even approximate single option's price correctly.
In fact, that IV value seems random, buggy or bogus, based on the following example:

While here is what IB shows for the same example:

 

[LM3886]

The IV value shown in TOS above and to the right of each Expriry represents what TOS uses as the current IV for that expiration. This value very closely approximates the value you would calculate if you use the CBOE VIX White paper method for computing the IV for a single expiration. (So, if your term happens to be precisely 30 Days to expiration and you are observing SPX, that value would be almost identical to the VIX calculated value!) -- Typically that value is close to the IIV of a PUT around 24-28 Delta for SPX. -- It is influenced by skew whereas ATM IV is not influenced by SKEW.

Interesting. Would the CBOE VIX white paper method generate a value less than the IV at any strike? That's what I observed in the screenshot: IV for expiration is less than 5%, while the lowest IV for any strike for that expiration is 11%.

 

[LM3886]

What would be the point of displaying the same ATM IV in two places, at the ATM strike and then again for all strikes @expiry?

I suppose it can give user an overview of term structure with all tabs closed.

While here is what IB shows for the same example:

What is that number for IB? Seems close to ATM IV?

 

[guru]

What is that number for IB? Seems close to ATM IV?

I can't find documentation for it and can't speculate.
It is possible for it to be ATM strike's IV, but would it be put's IV or call's IV?
They do seem to be slightly different as in this example:

(it may be the average of both, but that's a speculation without documentation)

 

[guru]

Actually SPY example show that in IB this is rather not IV @ATM because it's little off:

 

[stepandfetchit]

Interesting. Would the CBOE VIX white paper method generate a value less than the IV at any strike? That's what I observed in the screenshot: IV for expiration is less than 5%, while the lowest IV for any strike for that expiration is 11%.

YES! IMO: I am not a fan of using the "term IV" as it includes a mixture of IVs that is seldom appropriate for my focus. (it is influenced by SKEW) Either you are interested in effects of SKEW or you are not. If you are interested in effects of SKEW this is a sloppy method, and if you are not, this just adds error.

 

[LM3886]

Seems I'd better not look at that number. Thanks folks!