Say you can catch 5 a day, the spread means it wouldn't be worth it.
3900-3903
Buy 3903. Then the market has to move up to 3908-3911 for you to make your 5, which is a lot more than 5.
Now buy it at 3903 and it goes down, so you lose 5 (just using 5 here as an example), but who's 5...