>>are in the money calls likely to be as pumped up?
Umm, you realise that the reason the options seem 'pumped up' is because everyone's trying to get through the same door at the same time? The market moves prices to where willing buyers meet willing sellers. It's that simple. Nobody can 'set' prices, either too high or too low, and last in this business. For example, "bottom-fishers" have been buying BCE calls like crazy this past week as BCE slid to the $66 range, pushing the IV up about 10%. That's a lot for Bell. The May 70s are "worth" about 50c, but I'll gladly pay $1.00 just to get them back. The June calls are also riding higher than normal, but I'm all sold out and can't sell any more, so up they go. Costs me money, but then I made a bad market call, not on the direction of the stock (had that right) but on the direction of the IV.
Re: interlisted arbitrage: yes, there are opportunities when the IVs diverge between markets. I don't trade directly with US pros, but there are several options arb traders who do. IVs are typically always higher in the States, fwiw.
What a fortnight it's been--BLD opening up $6.80 on a gap, the N bought deal which made Inco gap down, then the British decision to sell bullion, which took six bucks out of ABX in two days. Whew! May we live in interesting times. (If you believe in symmetry, something's bound to happen with Bell).
Happy trading.
Porter
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