Position delta after hours on SPX

[srk]

Somehow after hours, when I check the position analysis on the butterflies in ONE (i use thinkorswim software to connect to ONE), for the SPX, the position delta always show much more negative than it should be and it is skewed. Does not do the same for NDX or RUT, does anybody know why ?

During the active trading , daytime hours, this never happens

 

[SergB]

I am not sure, but I suspect that Thinkorswim now updates SPX prices after hours using market data, but it does not update greeks (because SPX value is not know)

 

[status1]

Even before SPX was trading after hours there was a problem with TOS showing the right greeks and T+0 line because they don't freeze the option prices so most of the time the IV value is missing which will affect all the greeks and p/l as the bid price goes to 0 but the ask price stays so you will see some weird T+0 line like a big arc way above or below the entire trade

I would say the greeks are fairly accurate up to about 6PM EDT and the worst is just before the market opens

 

[DaveN]

I agree with all of the previous posters. These are great points.

Also, consider that possibility that because the SPX price is frozen until the open of Regular Trading Hours (RTH) the next day, that this could be throwing things off on the Risk Graph. I'm not sure, but I think that ONE does its own calculations on Greeks. I've traded a bit after hours on the SPX Options, but I'm still trying to get my head around no SPX pricing but options chains semi-actively updating. I basically minimize my ONE during these times and look directly at the options chains in ToS or IBKR.

One other thought is that SPX after hours trading doesn't yet have the participation that RTH has, especially in some of the Expirations. When Bid / Ask spreads widen out, they may not do so uniformly, meaning that the Mid pricing may shift around a bit. That can affect Greeks as well depending on the underlying modeling, whichever the broker or software.

 

[status1]

I think that ONE does its own calculations on Greeks

I just checked it now with SPX trading elsewhere but not on TOS and just looked at the Jul 5 expiration on TOS at the 3795 strike and it still does not have IV and looked on ONE and it also does not have IV which makes sense since ONE takes the data from TOS
Maybe ONE does the calculation differently during RTH but after hours there is no difference between TOS and ONE