During the sharp rise in CPU on monday I had a look at the call options trading being conducted on it. To me it appeared a market maker had been caught out by not updating his prices to represent the sharp rise in the SP of CPU. The MM was Selling $8 december expiry for calls for 11.5 cents. When the SP was above 8.40 ?
Am I missing something or was the market maker caught out ? Ive been looking at the pricing of CPU call options and it has appeared the MM has only been changing pricing on a daily basis (ie: not pricing options 'live' in relation to daily movements in the SP)
FWIW, the same options series was being offered on tuesday for 45 cents ...
I just cant believe it would be possible to snap up a 400% 'arbitrage' opportunity. Seems to silly to be real ... but thought id pop the question.