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Getting Filled within the Bid/Ask Spread?
Started:January 30th, 2016 (09:58 PM) by elynt Views / Replies:781 / 10
Last Reply:June 7th, 2016 (01:14 PM) Attachments:0

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Getting Filled within the Bid/Ask Spread?

Old June 7th, 2016, 01:14 PM   #11 (permalink)
Elite Member
Franklin TN
Futures Experience: Advanced
Platform: NT
Favorite Futures: CL, GC, Currencies
Posts: 6 since Apr 2014
Thanks: 133 given, 8 received

Not trying to resurrect an old thread, but I wanted to provide some of the conclusions I came to after trying options on futures for a few months in case anyone else stops by here with this question.

My experience with OoFs is pretty much what everyone has already outlined in the thread. In your very active/liquid markets (basically ES, GC, and CL), spreads are negligible during RTH. They are order driven, and in any rare instance during RTH in which the b/a spread is abnormally large, you can get a fill between the b/a. However, doing so assumes the underlying market will move a little in your direction to close the spread in your favor. There appears no consistent way to "game the system" if that's what you're looking for.

Most other futures markets (I tested GF, LE, PL, and ZS) appear to be quote driven, and dealers are unlikely to fill your order just because you place an order within the b/a. If you are getting orders filled between the b/a, it is likely due to a retail trader or the occasional bigger trader trying to enter/exit a position quickly. Again, there is no consistent way to predict the inside fill, which we would expect to be the case.

Options are there own class of securities and hold their inherent advantages/disadvantages over others. If a tight b/a fill is important to you, then I'd recommend sticking to the highly liquid OoFs or trading the underlying futures on the less liquid markets. Hope this helps.


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