A good point, although probably not too significant to someone selling OTM credit spreads. Your short calls would have to get pretty far in the money to be called away (which would be max loss for him). The OP should also look at ES futures options. I've found getting fills at the midpoint is getting easier all the time. Simple verticals should fill pretty well.
Do you mean you can better fill with ES option than that with SPX? Does ES option has a smaller bid ask spread?
torontoman has a good question. With the worries of SET and liquidity, isn't SPY better to trade than SPX?
The best way to answer your questions is to get quotes for all of them. I find ES has a better bid/ask spread than SPX, but that may just be the strikes and expiration months I'm looking at. More importantly, I've had much better luck getting a fill at the midpoint on ES than on SPX. But again, that may be biased by what series I'm trading.
offtopic yip; when are you gonna switch to future options? you know the all about the margin advantage.
Since we are going to have pm in April, the margin advantage will disappear soon. Switching to future options means higher commission. I am not sure if I want to switch yet.
if that pm really works as good as span; i would wait also. on the other hand; i will not believe it until i see it. i would be interested in hearing opinions on how the future option group (cme-globex) can respond to pm.
Thanks for the follow up atozcom. Interesting that yip1997 wasn't able to get fills at the mid, but I'm sure if varies by market. When you ask for a quote, or where an order will likely get filled, and TOS calls the Pit, how much size is quoted on each side? Thanks again.
What type of verticals are you doing FA? I ask cause mine sure aren't getting filled at midpoint, I have to leg in to achieve mid-spread results.