One way of looking at -a- key cost of making a market with passive limit orders is you are selling an option for free. A very rough calculation it seems is just to use Black Scholes with the strike price being the 1+spread/2. Lets say you are making a market all day (but keep in mind right now we are not looking at the number of times you earn the spread just that you are out there trying) I have read 2/3 of volatility is during the day. so t is roughly 2/3 * 1/250. Lets say volatility is 25% and interest rates are zero. I get a daily cost of 37 basis points on a stock with 67 basis points of spread, or 51bp on a stock with close to zero spread. I know that a discrete model should be used for this but is this number completely out of the ballpark ?