spx vol skew

Discussion in 'General Discussion' started by jim leahy, Mar 23, 2018.

  1. jim leahy

    jim leahy New Member

    i just thought i'd share some volatility skew graphs i captured this week. it's not often i get to capture skew from a big downturn. the first graph is the spx put skew captured today, for several expirations across different strikes. the second graph is the april vol skew captured for several days this past week. there's nothing unusual here but i just find it interesting how the skew morphs over time when the market drops a lot. the data is the IV from TOS.
    spx_skew_mar22_18.png spx_skew2_mar22_18.png
     
  2. Marcas

    Marcas Well-Known Member

    Are you sure about call side? I assume you captured all IVs from puts. Is it correct?
     
  3. AKJ

    AKJ Well-Known Member

    looks accurate to me.

    Marcas, it shouldn't matter much is you capture the put or call IVs, they should essentially be the same.
     
  4. jim leahy

    jim leahy New Member

    the graphs capture puts only.
     
  5. Marcas

    Marcas Well-Known Member

    AKJ, I agree: 'they should' but they don't (in TOS and other platforms).
    This is due to imperfect inputs. Below is random example from TOS.
    At least they are not hiding anything.
    Screenshot_2018-03-23_23-11-52.png

    Above does not mean that TOS greeks are unusable at all. I use them every day. But... :)
     
  6. Kevin Lee

    Kevin Lee Well-Known Member

    To do this properly, you must first ensure the IVs are correctly calculated. Look at the Put vs Call IVs, they should be the same for the same strike, same expiration. For TOS, usually that's not the case. The reason the Put/Call IVs are off is because the dividend and interest rate used are incorrect. IB usually does a much better job on this.

    If you have OV, they allow you to tweak dividend and interest rate. I have to do that once in a while to align the IVs. If the IVs are off, all the greeks are off.
     

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