Interesting.  Unfortunately, this is all within Registered accounts, so I'm not allowed to sell-to-open any options except Covered Calls.  I can only buy Calls, buy Puts, and sell Covered Calls.

    It seems like the bid/ask spread widens when I place an order, hoping to draw me into chasing it.  If I adjust my bid price within a minute or so, the ask will continue to move up, even if the underlying isn't moving.  However, if I do nothing, the underlying will eventually start moving the bid and ask prices in tandem with it and if I get lucky, it will move through my bid price and fill.

    This happened to me with VNQ--an ETF that trades almost 6M shares per day.  The option bid/ask spread is currently almost 8% (1.90 - 2.05).

    Even on SPY options, I regularly see a bid/ask spread of 2% +

    Is it because there typically is such a big potential percentage profit to be made that the market makers know you'll tolerate more slippage on entry/exit?


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