i re-calculated the implied vols feed by my broker (ThinkorSwim) and found that my near-term vols (expiries within the next 7 days or so) are much higher than the ones from ThinkorSwim. How can that be? The closer to expiry, the higher. This seems to be true for all the tickers i tried. I calculated vols different ways and got the same results (Brent, Newton, and Li(2006)). In comparison, my vols on all maturities beyond ~10 days away are within 3% of my broker's vols. Here are my parameters assumptions:
- Time-to-maturities: fraction of seconds till settlement over seconds in year (365 days)
- Interest rate: Quandl's treasuries yield curve
- Contract prices: ThinkorSwim's mids for which bids are not zero
As an illustration, these are my implied vols on the SPY puts today (march 30th 2020) at 3:58pm EST, from ATM to 10% OTM, for the first 10 expiries, including today's. The NaNs are just contracts that don't exist.
And these are my vols above divided by ThinkorSwim's vols, same time, same contracts. The less the time-to-maturity, the greater the divergence, basically, ThinkorSwim vols go down, while mine go up. Can someone help me understand? Seems that I'm missing something basic here.