This analysis of the history of the Chicago Board Options Exchange explores the performativity of economics, a theme in economic sociology recently developed by Callon. Economics was crucial to the creation of financial derivatives exchanges: it helped remedy the drastic loss of legitimacy suffered by derivatives in the first half of the twentieth century. Option pricing theory - a 'crown jewel'? of neoclassical economics - succeeded empirically not because it discovered pre-existing price patterns but because markets changed in ways that made its assumptions more accurate, and because the theory was used in arbitrage. Performativity, however, has limits, and an emphasis on it needs to be combined with classic themes in economic sociology, such as Granovetterian embedding and the way in which exchanges can be cultures and moral communities in which problems of collective action can be solved.