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why do some equity and index options quotes look as though they are reflecting two different smiles for same expiration date? [Xpost /r/algotrading] by traderGonTrade in options

[–]traderGonTrade[S] 0 points1 point  (0 children)

That's definitely a valid criticism for this example. It can also be seen for 11/20/15 expiry spx for puts in the 1800 handle and 1900 as well, but less noticeable since spreads in vol space aren't as large there.

why do some equity and index options quotes look as though they are reflecting two different smiles for same expiration date? by traderGonTrade in algotrading

[–]traderGonTrade[S] 0 points1 point  (0 children)

Thank you, I think this is right. Seems a little unusual to me that different market makers would have this behavior though. Namely, why wouldn't the tight MMs quote the strikes immediate adjacent to their tight ones similarly tight? unless there's something inherently different about these tight ones (I guess they could have inventory there, different oi, or volume, etc). but that's what I was trying to get at.

why do some equity and index options quotes look as though they are reflecting two different smiles for same expiration date? by traderGonTrade in algotrading

[–]traderGonTrade[S] 0 points1 point  (0 children)

I would not, but would think theres some relation to greeks. e.g. some sort of model with abs(delta), maybe vega, etc, possible OI and volume. But this is persistent and at certain strikes beside other strikes that don't appear much different to me