How Market Makers Price Junk Small-Cap Options: Implied Volatility Modeling When the Underlying Barely Trades — Why Spreads Are $0.05 × $0.85, Why Delta Lies, and Why Theta Doesn’t Matter
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Introduction — Inside the Junk Chain
0:0012:00
Money MakingInvesting & Trading
Episodes
1
Introduction — Inside the Junk Chain
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Chapter 1 — What Makes a Small-Cap Option ‘Junk’
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Chapter 2 — The Real Incentive for Quoting Garbage
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Chapter 3 — Why Black–Scholes Fails Instantly in Microcaps
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Chapter 4 — The Market Maker’s Risk Lens
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Chapter 5 — The Math Behind the $0.05 × $0.85 Spread
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Chapter 6 — Why Delta Lies
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Chapter 7 — Why Theta Doesn’t Matter
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Chapter 8 — The Mirage of Implied Volatility
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Chapter 9 — How MMs Hedge Illiquidity