Quote from James3313:
xlf makes a .58% move and the NOV ATM options have no reflections whatsoever. The bid ask didn't even move...
still bid @ 1.74 / ask 1.80
Not to mention the spreads. A 6 point spread. That was unheard of before 9-22-08.
What happened??
What happened is very simple. Implied volatility was very high. It dropped.
When that happens the prices of both the puts and calls decline.
Mark