Yes, its a point Ive been trying to make for a while, SD.
Traders seem to trade IVs that allows for nontrading days on a regular basis, if the time to expiry is under 60 days.Its very noticable as we are so close to expiry. I closed out several positions today that I normally would have held to expiry, as I didnt like to hold with 3 trading days to expiry, while prices werent really fair. Im not paying for nontrading days in time expiry, and neither is anyone else in the know. Ive tracked ncp Apr 10.50 calls for a few weeks now, and they have been allowing for weekends and easter hols for a month in IVs.
This is the type of arbitrage opportunity that JC.Hull speaks of with delta hedging. You could sell the call option and buy the stock, and then sell some stock as profit when the call price moves. A lot of oultlay for not much profit tho.
I'll post a history of ncp IVs if your interested.
