Right now, I'll discuss the discrepancy I found in a couple of charts around the April 1 time frame. I had recorded my portfolio's Greeks on 3-30 (Saturday) in the chart of my previous post, and on 4-1 morning session in the following chart.
Notably, the chart of 3-30 (which was a 3 day weekend for Wall Street) indicated the SPX volatility ($VIX) of 13.26. This value was 0.56 higher than the close of last trading day on 3-28. So the ThinkOrSwim platform is tracking $VIX beyond the standard trading time. This extended hour value of VIX is incorporated into the analyzer. Any customers using the analyzer at weekends for their portfolio analysis should be aware of this fact when working on volatility related analysis.
On 4-1, there was a significant SPX drop that caused $VIX to increase over $1.00 compared to the previous trading day. The TOS software had a VIX increase of 0.54 as shown in the table below.
Another important observation from the above table is that the IV of option strikes do not move in the same way as that of the VIX. However, the ThinkOrSwim analyzer uses VIX in the adjustment field of volatility.This can create some confusions when analyzing portfolio options. I'll write another post on this topic in the near future.
To track the option volatility on 3-28 for my analysis, I tried to use ThinkBack feature and found it does not provide the real history of Greeks since it gave a value over 10. It could not be the true value at the 3-30 market close since the real value on 3-30 (weekend) was 9.59. So people who use ThinkBack should be aware of this difference as well. I also tried ThinkOnDemand and found it does not offer info beyond a few strikes ATM.