  Equity options are known to be notoriously difficult to price accurately, and
even with the development of established mathematical models there are many
assumptions that must be made about the underlying processes driving market
movements. As such, the theoretical prices outputted by these models are often
slightly different from the realized or actual market price. The choice of
model traders use can create many different valuations on the same asset, which
may lead to a form of systematic micro-movement or noise. The analysis in this
paper demonstrates that approximately 1.7%-4.5% of market volume for options
written on the SPY ETF within the last two years could potentially be due to
systematic noise.
