6# Enthuse
If you observe the option price of small companies from NASDAQ, you will find this phenomenon.
Such as this one :  http://finance.yahoo.com/q/op?s=GENZ&m=2009-10              look at the option price when strike price is 70 or 95 with the maturity of OCT 09.
If you observe big companies form Dow Jones,  its options prices are normal.



I found an article last night talking about liquidity problem.
http://hedged.biz/index.php?option=com_content&view=article&id=138:liquidity-volatility-analogs-how-to-compare-hedge-funds-with-different-redemption-frequencies&catid=1:latest-news&Itemid=63
It says that
a) liquidity decreasing-----> volatilaty increasing----> option price increase
b) as you can not sell your option out when you want to close out your position, you will hold it . as the time you hold it become longer, the interval of time increase, so that option price  will increase
c) As the reason of a) and b), the cost of this option is higher. it is another reason to explain why option price will increase.

你看的都是last，可能差着好几个小时，你看bid ask有cross的吗market maker没有一个傻子，这种arbitrage的机会想都不要想

怎么听不太懂下面的回帖~~