What's the best source for real-time Option estimated values

[d0rian]

IB has a "Model Price" data field that gives their model's estimate for the value of any option contract. It's not terrible, though I find it's consistently way off for some underlyings, and will also be pretty useless in volatile conditions.

None of my other brokerages even HAVE an estimated option value data field, so IB's is all I have, but posting here to see if anyone has any other data feed or brokerage product that provides something similar.

 

[ZBZB]

IB has a "Model Price" data field that gives their model's estimate for the value of any option contract. It's not terrible, though I find it's consistently way off for some underlyings, and will also be pretty useless in volatile conditions.

None of my other brokerages even HAVE an estimated option value data field, so IB's is all I have, but posting here to see if anyone has any other data feed or brokerage product that provides something similar.

You can do your own model price at www.hoaldley.net/options or any options calculator. I just walk my bid/ask towards the IB model price until I get filled.

 

[Robert Morse]

IB uses their own model while other broker use the mid-point and then display their estimate of that IVOl based an assumption of interest and dividend flows. I'm not sure you can get what you want without accepting the assumptions of another service provider.

 

[2rosy]

livevol
https://www.cboe.com/services/

 

[Matt_ORATS]

ORATS has three models for estimating the value of options.
Below is an options scanner that presents the current market value's edge to these theoretical values:

• D% is the value of an option or spread based on the historical distribution of underlying prices adjusted for implied volatility levels and drift, ie taking out any bullish or bearish leanings.
• F% is the value based on a volatility surface constructed with forecasts of short term historical volatility, forecasts of long term implied volatility levels, and forecasts of skewness (slope) and kurtosis (derivative of slope).
• S% is the value based on smoothing the current IV surface for each expiration.

 

[newwurldmn]

IB has a "Model Price" data field that gives their model's estimate for the value of any option contract. It's not terrible, though I find it's consistently way off for some underlyings, and will also be pretty useless in volatile conditions.

None of my other brokerages even HAVE an estimated option value data field, so IB's is all I have, but posting here to see if anyone has any other data feed or brokerage product that provides something similar.

what are you looking for?

the whole are of vol trading is determining your own value for an option and seeing if that value is different from the market price.

 

[xandman]

Doesn't IBKR allow you to plug in your own model to be displayed in TWS? It may just be for the "model IV" column.

 

[TrailerParkTed]

IB has a "Model Price" data field that gives their model's estimate for the value of any option contract. It's not terrible, though I find it's consistently way off for some underlyings, and will also be pretty useless in volatile conditions.

None of my other brokerages even HAVE an estimated option value data field, so IB's is all I have, but posting here to see if anyone has any other data feed or brokerage product that provides something similar.

Orats and LiveVol are wonder. I trade hundreds of options daily, seemed to me putting the order in a the calculation value had me waiting as algos swarmed next to my orders. Happened with GM puts today, I am a nobody Robert, Matt and Neweurl are long time pros, their answers are gold.
https://www.livevol.com/

 

[Matt_ORATS]

Orats and LiveVol are wonder. I trade hundreds of options daily, seemed to me putting the order in a the calculation value had me waiting as algos swarmed next to my orders. Happened with GM puts today, I am a nobody Robert, Matt and Neweurl are long time pros, their answers are gold.
https://www.livevol.com/

Here are the top 10 GM long puts and ranking methodology:

I set the rank roughly equal between the D% distribution edge and F% forecast edge. I did not weight the POP, S% smooth edge or risk reward.

Here's a look at the top ranked long put:

F% - Our volatility forecast is higher than the IV in GM and the theo value for this put is $0.71 vs mid of $0.48.
D% - The historical distribution of GM's price changes adjusted for IV value the terminal payoffs at $0.49.
S% - The smoothed IV for the strike values the mid right at the $0.48

 

[TrailerParkTed]

Here are the top 10 GM long puts and ranking methodology:

I set the rank roughly equal between the D% distribution edge and F% forecast edge. I did not weight the POP, S% smooth edge or risk reward.

Here's a look at the top ranked long put:

F% - Our volatility forecast is higher than the IV in GM and the theo value for this put is $0.71 vs mid of $0.48.
D% - The historical distribution of GM's price changes adjusted for IV value the terminal payoffs at $0.49.
S% - The smoothed IV for the strike values the mid right at the $0.48

Thank you Matt! I always recommended your product because it’s excellent! Thanks again!