Knowledgebase: Why do the Greeks in ONE differ from those in your broker platform?

Posted by Colin Jennings, Last modified by Andy Mitchell on 23 October 2012 18:31

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ONE calculates its Implied Volatility and Greeks from raw price data and does so using a consistent and accurate methodology. However, the question is often asked as to how or why these Greeks differ from those published by a users brokerage platform, such as ThinkOrSwim?

It is important to note that ONE is not attempting to emulate or copy any other broker or software platform. We simple do not know how these brokers calculate their Greeks - each calculates according to their own dictates.  And because ONE does not want to align itself too tightly to a single broker, we take an independent stance and calculate all Implied Volatilities and Greeks ourselves using tried and tested methodologies.

So, if the Greeks can vary between brokers and ONE, which should you trust? The answer is "just be consistent". Dan Sherridan recommends using a single platform on which to base adjustment decisions because no two platforms will give the same figures. If you are backtesting a strategy using ONE, keep using the figures from ONE when you move on to trade the strategy live.