Maxtodorov 18 Report post Posted June 5, 2013 Hi Everyone, I have found something that I can not figure out. I am looking at bid and ask prices for SPY mini vs. regular options. I would think that considering that mini is simply 1/10 of a regular option contract, that the bid/ask prices would be same. However it seems that the prices are different. At the same time, the implied bid/ask volatility seems to be identical. Two questions come to mind: 1. Is there potential arbitrage opportunity. (getting 10 mini, shorting 1 regular)? 2. Why implied bid/ask volatility is listed same, but the prices are different? Share this post Link to post Share on other sites
tjlocke99 18 Report post Posted June 6, 2013 Interesting topic. On the arbitrage opportunity, I think the trading commissions would eat up any potential small gain. In your example it would be 11 x 2 = 22 total contract trades to enter and exit the spread. Share this post Link to post Share on other sites
Marco 221 Report post Posted June 6, 2013 if you ever find a situation where you can buy a mini option with the same strike and maturity as a regular option at a lower price than you can sell the other one you have indeed an arbitrage. I doubt that will ever happen though and if it does some machine will be a million times quicker than you to spot it and exploit the error someone else made. however seems in above screen shot the minis are just wider. Including the 10 x higher fees that makes it very expensive to trade these minis! Share this post Link to post Share on other sites
