Re: Missing bid delta for some options
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?"Thank you, but I don't understand the response.?
My question is simple: Why does IB calculate only some of the bid, ask, and model deltas, but not all of them???
The market prices (bid, ask or last) do not give a smooth IV smile curve as a function of strike price. TWS fits these "rough" IV's to a smooth curve called the "option model" and returns what the IV and other parameters (like delta) on that curve should be - those are the model prices.
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In theory if you buy low and sell high based on the model price, you can do arbitration. In practice, like with all things related to trading, it's not that simple (limited margin & similar).
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For example if you have (bid, ask) pair for a call and just a (bid) but no (ask) for a put, all at the same strike, you could in theory compute what the other ask should be (assuming same midpoint/spread). You could then become the "market maker" by entering your own LMT order at the theoretical put ask price.
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