I've seen something like that when working with IV surfaces. Got excited for a while, but latter I came to a conclusion that all options have the same market maker, who adjusts the bid/ask prices of all options in a chain. Isn't that the reason for "synchronisation" effect? Or I am missing the point completely?
How Do Options Make Predictions?
- Thread starter kjb1891
- Start date
Maestro - seems like you've done research on this -- what do you think about underlying getting pinned to certain strikes at expiration?
You're being taken for a ride. You would have to assume the tail wags the dog, and it's not the case. Maestro is referring to contamination principles, poorly I might add.
That is essentially what I was trying to describe, with, I think, limited success. Dynamic Hedging has a clearer explanation, complete with diagrams.
Here's a different one. Put-call parity violations predict moves in the underlying . When the synthetic stock is more expensive than the cash stock, it is often b/c of informed traders buying the calls, and vice versa.
