Illiquid options have several factors stacked against you.
1. They usually have wider bid/ask spread
2. It's more likely that when you trade one it will affect the price - in other words you can move the market for that option with your order
3. It can be difficult to get out at a fair price if you really need to (ex triggering a stop order if you use them)
Mark
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http://www.success-with-options.com