Assuming I am trading a liquid Weekly such as SPY, are fills any problem? This would be mostly in the latter part of the week, possibly OTMs.
SPY fills are pretty good. The further otm later in the week have lower volume so you might have to pay the natural but the spread is only 1-2 cts. wide. I know a lot of people don't like them but I have pretty good success on the weekly SPX options. Sometimes you do have to cave a little bit more on the price you want or let the market move around a little bit to get filled but I find getting fills as verticals are pretty good.