Today, I was able to use ThinkOnDemand feature to track down IV of SPX options. Although the option chains only provides 12 strikes near the momey, it's possible to get other OTM Greeks in the order pane as shown in the following image. The question is how accurate are the historical Greek data?
options in April 14, 2013. So I cut and pasted related section into the lower left corner of the ThinkOnDemand page and I also noted down the IV numbers one-by-one on the side for easier comparison. I found the following differences:
- VIX on Watch List of the TOD is 12.06 while the recorded data is 12.25.
- There is over 1% point differences in the OTM call strikes.
- There is over 0.25% point differences in OTM put strikes (which are smaller than those of the call strikes).
There are big differences for the IV data in TOS software. But how important is it to have accurate IV data for option analysis since they are used for estimation only?
Update: IV is a calculated value using different algorithm or formula, using option price, time to expiration, strike price, interest rate, etc., as input to the formula. TOS probably use different formula to calculate IV and Greeks in different places: option chain, position analyzer, ThinkBack/ThinkOnDemand, etc. So the key is that consistency must be maintained when using the TOS software.