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Thinking about your post on volatility leaves me
somewhat confused again.
You talk about the volatility of the underlying,
but the underlying has only one kind of volatility - statistical,
so are you saying that one trader might use the SV of the last
30 days, while another would use SV of the last year?
So are we talking about traders with differing specific purposes
using different SV of the underlying to get a price for an option,
which may vary considerably from the price given to the option by MMs?
It would also help to know what period SV is being used by the MMs.
Neal
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