Why would a retailer price options ? I guess it's a waist of time right ? Even if there are "mispricing" .. The market is efficient but .. Not perfect at all time and everywhere. Is it worthless ? Some of you arb them ? Compute option price ? Why ? Could it give insight for a speculator ?
Do you mean when they come up with some theoretical "Fair Value" for the options which just happens to be lower than the ask or higher than the bid? Yes ...... It is a waste of time.
Yes. I mean using a trinomial tree for exemple. You enter all the parameters then it gives you a value. Which is considered as a "fair" value as we would expect it. Ok. So you don't arbitrage option prices =P I wouldn't neither. By the way. I added a few lines to my original post. Mainly that if it would give insight, doing this, For someone trading options directionally. I know some practice don't have direct benefice. But they can have indirect ones. Like insights ..
If I don't find some way to price them, no matter how inaccurate, how do I comparison shop and find which one to invest in?
Take a look at the the underlying. Determine the future move of the underlying. Take a look at the options - strikes, expiry, bid/ask. Build a winning option trade around the info you have. Being "Penny Wise Pound Foolish" with the bid/ask might cost you in the long run if the order expires unfilled.