I've been doing PMCC's on ETFs like SPY and QQQ, buying a roughly 1 year call around 75-80 delta, and then selling daily or weekly calls in the 20-30 delta range. I'm doing this on Robinhood and Tastytrade.
A few minutes ago I noticed that a 1 year LEAP on SPY for $510 was about an 80 delta, while on TastyTrade at the same time, I had to go down to 440 to get the same Delta. This is way past a margin of error or timing of a few minutes/seconds, so what gives?
Is there something I'm missing here? Are there different delta calculations being used by the two platforms? Which one can I go off of? I'm just trying to make sense of it to make more informed decisions, and any misunderstandings I might be making or insights anyone could provide would be very helpful.
Wildly different LEAP deltas showing at same time during market hours between Robinhood and Tasty
byu/WorkingFriendship550 inoptions
Posted by WorkingFriendship550
5 Comments
Also, for added context and confusion- Robinhood is saying this 440 for next year has 18% implied volatility, and Tasty is saying 30%. Both price the option the same
Delta is calculated with sever variabeles: risk free rates, implied volatility, price and strike price and dte. While most of these are constant, they could be using different risk free rates or implied volatility and it would yield different results.
Especially volatility can have a huge impact on delta.
And since you already mentioned in a comment that the iv is different between to two platforms. I would say that’s it.
Current spy IV is 17.8. so i would say Robinhood is correct.
On IBKR, With SPY at $544 15, the Sep ’25 $510 call has a delta of .715 and an implied IV of 19.2%
There are different ways to calculate IV so numbers will vary from broker to broker, but not as much as you observed.
Be aware that there are different option pricing models in the world, always a good idea to know which the broker is using to figure out IV, and then by extension the greeks.
Also matters if IV is being priced off of mid or last and how each broker deals with bad quotes.