I have a covered call that is going to expire in 15 minutes. It's $1.30 in the money. I'd expect with no time value left, the price to equal the intrinsic value ($1.30). However, it's still valued at $2.05.
Is the volatility (vega) playing that much of a role in the price even with no time left? If not, what could really be driving the price up here?
No, something doesn't seem right here. There would be virtually no time value to the option 10 minutes before market close on the expiration day.
What option is it, and what is the expiration?
EDIT: It appears you were looking only at the ASK price. It was $2.05. However, the BID price was only $1.35 and the last transaction was $1.40. So the true value is right about $1.35 to $1.40 at this second.
This is a pitfall that tends to occur when you trade options with almost no volume. For instance, the open interest in that option is only 1 contract (assuming that is yours). So the Bid and the Ask can often be very far apart as they are only being generated by computer traders or the result of outdated, irrelevant human orders.
