Anyone notice that the bid/ask spread on the May SPX options just jumped from about 1 or 1.5 to over $3? What just happened to justify such a jump? This is an outrage! But wait, as I finish this message, the spread has narrowed somewhat. I've seen this happen around Thursdays before expiration Friday. These MMs wouldn't be trying to take advantage of us little guys who are trying to close our positions, would they? AZD
CPI maybe? In Eurodollars, the normal .5bp bid/ask spread can widen out to 4 or 5 before any economic announcement.
CPI was released "ages" ago. Normally, with such a wide spread there is an event pending or there is wild movement in the underlying and the VIX is going wild. I see neither. AZD