Thursday, April 7, 2011

IV Charts on Think or Swim vs LiveVol

So since the free version of LiveVol is no longer, I have been using the TOS platform to get a visual even though I don't like it compared to what I'm used to at LiveVol. But today I pull up IV on TOS for (RMBS) and I know by eyeballing it that it's not correct because I've been following my APR position daily and taking a look at MAY periodically as well. So I pull up the option chain to see what that says versus the IV chart and I confirm that it's wrong. Then I use LiveVol and that chart looks correct to me from what I've been seeing the last few weeks, and also matches the option chain information. Here is my question, why are they different? Does anybody know what the IV is measuring on TOS? Can I check it, change it, etc.? I don't want to pay for LiveVol but if I can't rely on TOS then I have to look elsewhere. IV on TOS is showing 84, that is not correct, how do I find out where they got this from?


  1. Jason,
    I ran into the same exact issue with TOS and their faulty Vol numbers on several occasions. I actually use the DDE connection through TOS to calculate my own version of volatility skew based on the .10 delta put and the .25 delta call as a percentage of the atm options. Well, what i found was that TOS was not factoring in the Cost of Carry into their volatility numbers. Consequently, in order to get a more accurate volatility you have to average the put-call parity of the strikes that you are looking at.

    TOS has all the bells and whistles a trader can dream of, but cut corners on the volatility numbers. I tend to believe that since most of their retail customers do not get that advanced into option pricing or arbitrage they probably don't even notice that they are trading off of bad vol numbers. LiveVol is much better than TOS and is probably your best bet.

  2. I love LiveVol but only use it for basic functions right now, not something I want to pay for.

  3. If you go to Edit studies, then highlight ImpVolatility and right click, you can view source which shows the thinkscript code. It doesn't say much there but I assume that is where you would change it. How you would change it to be accurate I have no idea. Probably the best thing is to email support and show them that it is wrong and make their programmers fix it.