These are the basics of a trade IB executed for me last Friday morning (closing a SPY broken wing butterfly). Trade ID Option Execution Time Xchange Execution Price 46391559 SPYIQ 121 Call Sold 2008-09-19 09:30:02 ISE 3.85 46391565 SPYIS 123 Call Bought 2008-09-19 09:30:02 ISE 4.30 46391584 SPYIX 128 Call Sold 2008-09-19 09:30:02 ISE 0.53 As you can see, the 121 call was sold at 3.85 and the 123 call (even though it has $2 less intrinsic value) was bought at 4.30. Even allowing for slippage, bid-ask spreads, market volatility etc, this is a rotten trade. How can the 121 call, which had nearly $6 of intrinsic value at the time of execution, be bought and sold for $3.85? This is not some junior miner, this is the most liquid, most heavily traded stock on the planet. How can the highest bid for an in the money option at the opening bell be 30% less than its intrinsic value? Does anyone think I should notify some option body or something, not for the money which is lost, but for the principle? Or do the experienced traders say, anything goes, intrinsic value does not necessarily mean anything. Thanks for your interest.