Estimated marks

Sometimes IB sends an option no bid or ask. After about 4 seconds without a market, the graph values that leg on an estimate instead of holding on “Loading quotes”. Tented tries, in order:

1. The volatility of the nearest quoted strikes on the same side, read at the leg’s strike.
2. The same strike’s other side by put-call parity (European options only).
3. IB’s own model volatility for the contract.

It never uses the last trade or the close.

Figures that rest on an estimate read “≈” (Max P, Max L, Credit, PoP, Greeks), and an “N legs estimated” chip lists each leg, its value and its source. In the chain, the bid cell shows “≈ 3.20” and the ask cell “est.”. The value disappears the moment IB quotes the contract.

Note

Estimated marks cover the risk graph and the chain. The sidebar cards and the trade header still wait for a live quote. Orders never use an estimate.

Meanwhile, if IB’s default routing (SMART) has sent a contract no bid or ask for about 10 seconds of live data, Tented asks for it from CBOE once, which can supply the quote.

If “≈” will not go away, a leg still has no market from IB; see The risk graph shows a warning chip.