I have indeed seen cases where the settlement prices of out of the money options on certain stocks or futures were much lower than the prices at which they actually traded every day. Maybe anomalies is too strong a word in my part. I guess what one really needs is tradeable or exploitable intraday variations from model pricing that do nevertheless revert so that one can exit the trade with a profit. I believe I am seeing these and will look to post some real examples for comment if I can firm them up. But probably you deal in these all the time already.....
Hope to see some examples. Your strongest case would come from synchronized trade and quote data as you mentioned, to make sure any opportunity found would have been exploitable. I do not find them very often in electronic option markets. I have seen them in the OTC markets where a local or market maker has the wrong volatility or something of that nature. Usually occurs on fences, strangles, high vega structures, or outrights when the wrong futures cross is used. Keep hunting though. Breaks do happen.