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Volatility Calculation Mode in TOS has no effect?

Discussion in 'General Discussion' started by Capt Hobbes, Jan 28, 2016.

  1. Capt Hobbes

    Capt Hobbes Well-Known Member

    Just noticed that in the current TOS changing the volatility mode setting between vol smile and individual IV (or even fixed vol per expiration) has no visible effect. The greeks, the risk graph, and the PnL on the Analyze tab do not change. Is it just me?
     
  2. Scott Slivnik

    Scott Slivnik Well-Known Member

    It is not just you. I first noticed it a couple days ago while modeling a new trade.


    Sent from my iPhone using Tapatalk
     
  3. Capt Hobbes

    Capt Hobbes Well-Known Member

    Thanks, I opened a support request with TOS.
     
  4. Capt Hobbes

    Capt Hobbes Well-Known Member

    The rep confirmed the issue and forwarded it to the dev team.
     
    Rick and GreenZone like this.
  5. Andrew C

    Andrew C Well-Known Member

    Has anyone heard anymore about this issue?
     
  6. GreenZone

    GreenZone Well-Known Member

    Still not fixed.....but I'm sure you've realized that.
     
  7. Scott Slivnik

    Scott Slivnik Well-Known Member

    Looks like this may be fixed now. The deltas change when the volatility mode is changed for me.
     
  8. Joe A

    Joe A Active Member

    Ron,
    I know you are using TOS for your greeks now. Can you confirm Scott's observation and do the greeks look correct to you?
    Joe
     
  9. Capt Hobbes

    Capt Hobbes Well-Known Member

    Looks like it's been fixed. I use Excel to pull the IV data and display the volatility surface. One unexpected effect of the volatility mode setting is that it affects the exported IV. When VSA is on, you see a straight line instead of the actual curve. This is what I see now, and it changes to a proper curve when changing to Individual IV.
     
  10. GreenZone

    GreenZone Well-Known Member

    Yes, it appears to be fixed with SPX.
    Now individual implied volatility and vol smile give different P&L, as we expect to see.

    Remember, individual implied volatility is for "real" P&L, and TOS vol smile is for accurate greeks and T+0.
     
  11. Capt Hobbes

    Capt Hobbes Well-Known Member

    I'm still seeing the issue with ES though.
     
  12. GreenZone

    GreenZone Well-Known Member

    Agreed.
    In fact, yesterday when I was looking at building a position for /6E, I noticed that it also wasn't changing between the two models.
    I tried out a few other futures options, and it appears to be broken for all of them.
     
  13. Dennis L

    Dennis L Member

    Called and Tweeted them many times regarding incorrect IV as well as significant errors in the MARK price on many SPX strikes. To compensate for the incorrect IV, had to pull each options MARK into Excel through RTD to calculate the correct IV; then noticed the MARK (mid price) itself was wrong, often $1-2 above the true mid! ;next had to pull in BID and ASK, calculate the mid in Excel, then use my mid to find the actual IV that matched IB. It was so blatant that adding 'theo' price to the option chain showed the theoretical price as at least $2 more than the "real" price...:mad:

    TOS Reply, "Yeah, we're working on it..." I asked if it was before or after the fix for "locking" saved simulated trades, before or after converging on the same greeks calculations on both the monitor and analyze tab, before or after the gross memory leaks, etc...sure do miss Tom and Scott....
     

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