did you check the delta on your options before you buy? the Delta on your option is 0.333. plus not alot of open interest, so the MM can maniuplate anyway he wants, doesn't require him much margins to push the price down. They do that to sirius options all day long. even right after I bought some at 50 cents, the last trade on the tape still said 48 cents, which compress the margin.
The Jan 15 were almost 4 bucks OTM so knew delta was small, but not that small (as in almost ZERO to the upside). A $1.50 move in the stock price only moved the option price 15 cents, thats a delta of 0.1.
just to clarify, so that was a FOURTEEN percent move in the underlying when JEF hit 12.86. TIME DECAY was 2 HOURS, not days. They should have moved up more, but the MM's must have sucked the volitility out due to all the analysts like Whitney backing up the stock.
but JEF moved $1.5 from the lows, not from yesterday's close. JEF actually only move 24 to the upside as of right now. but I do agree with you, even with the 24 cents gains today, the ask is only 90 cents, actually lower than yesterday's last trade. lol, I assume its because not enough open interest and bids, and the MM can just price it any way he wants to catch a bid.