I am trading mining stocks, precious metal ETF's and derivatives. I am working from Canada and there are tax and FX advantages to working in CDN dollars on a Canadian exchange. I tend to choose instruments that trade both on the Toronto Exchange and in NY. I can trade the options on these instruments either at Montreal or at Chicago. My question is about the importance of liquidity. Montreal seems to be thinly traded with small open interests. The US options market is obviously much more active. Does this matter and what pitfalls should I be aware of in a market where there are not a lot of players?