How Often Do You Get Filled At Mid Price In Vertical Option Spreads?

[Con1991]

I find myself getting filled at mid price quite frequently, especially on the indexes such as Ndx, Spx etc. This can be much more profitable than being filled at either the bid or the ask, depending of course on whether one is buying or selling.

 

[JackMorgan]

With spreads so tight, why is this a surprise to you ?

 

[MacBookProHo]

I find myself getting filled at mid price quite frequently, especially on the indexes such as Ndx, Spx

Do you use market orders, or limit orders,...to get filled at that mid point price?

 

[Con1991]

Do you use market orders, or limit orders,...to get filled at that mid point price?

Yes limit orders, I meant to specify in my post.

 

[ET180]

Do you use market orders, or limit orders,...to get filled at that mid point price?

You always buy at the ask and sell at the bid with a market order.

 

[newwurldmn]

You always buy at the ask and sell at the bid with a market order.

not always.

 

[ET180]

not always.

What would cause that not to be the case?

 

[newwurldmn]

What would cause that not to be the case?

pedantically speaking, If you outsize the market you will trade worse than the bid or offer.

but often (I bet more than 50percent of the time) you will trade better as market makers will compete for your order and will step up. They don’t want to post their axe as they might get picked off, but when an order comes in, they will improve the price.

 

[guru]

What would cause that not to be the case?

The 100ms auction when market makers submit competing offers for your order and the best offer wins:

https://www.cboe.com/us/options/trading/crossing_orders/

https://www.nasdaq.com/MRX_FIX

 

[ET180]

The 100ms auction when market makers submit competing offers for your order and the best offer wins:

https://www.cboe.com/us/options/trading/crossing_orders/

https://www.nasdaq.com/MRX_FIX

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I thought that market orders are matched against limit orders. Sounds like every market order has a 100 mS auction process and if no takers, then it hits the best bid if selling and ask if buying?