He knows (Matt Levine always knows), and addresses that very fact in a footnote: > To be clear, market makers are not required to do what the model tells them,

He knows (Matt Levine always knows), and addresses that very fact in a footnote: > To be clear, market makers are not required to do what the model tells them, and the “common sense” answer is perhaps ambiguous. Arguably the fact that someone bought thousands of these options means that the probability of them paying off is a bit higher than the model suggests. If you are selling way-way-way-out-of-the-money options, you probably should not be blindly following your model. Here is a story I likefrom Nassim Nicholas Taleb.