This is a question that someone else posted on another board. It probably won't receive an intelligent response there so I paste it here as I am curious as well .... what was going w/ AIG ITM options? "I would be interested in thoughts/comments on something I observed on Fri. Dec 5. It appears that someone sold one contract at each available DITM strike for Jan, Feb, and MAY 04. Total vol for the day at each strike = 1. AIG closed at 58.63. There are Jan strikes at $5 increments from 20 to 50 that each have vol = 1. Feb, May are similar. My initial thought is that the Market maker may have gotten behind when the price dropped quickly in the morning and someone took advantage of a risk free arb opportunity. The market maker was only obligated to buy 1 contract at the advertised price and then adjusted. Is there some other reasonable explanation or strategy to explain what appears to me to be unusual activity. It occured to me that someone could be just trying to buy a high delta call expecting the underlying was going to bounce, but if so, why not transact all 20 contracts at one strike/expiration and save on commission? There was single vol's on the DITM Puts as well."