With the SEC's regulation of naked short selling and just shorting financials in general, I started playing with the ETF SKF (Ultrashort Financials). SKF is currently trading slightly above $132 and it generally has a tiny spread ranging from .1 to .3. I am curious if anyone trades this by 500 or 1000 shares at a time. What has your experience been regarding market orders? How bad is the slippage? I don't expect it to be too bad, but considering that this ETF can reverse direction with a easy $2 swing, I wouldn't obviously want to be caught on the wrong side with that many shares.