This depends on the symbol. I have clients that trade larger lots that that without a problem. SPY, QQQ, AAPL..no problem. When I was a market maker, just our crowd on the AMEX in AAPL was 2000 to 5000 up with 30 traders. Now add 14 other exchanges. When I left in 2010, the QQQ crowd was 20,000 up. OTM options more, ITM options less. I assume you can get that today too.
I'd say liquidity gotten more polarized. The liquid stuff is even more liquid - I traded 20k AAPL straddles over a few min recently, electronically, used to be that you had to quote dealer if you wanted that size. The illiquid stuff is even more illiquid - biotech and event names gotten really bad and you might be lucky to get a contract done.
Typical retail for 500 contracts would be 25 opening and 25 closing - without knowing more. At IB where typical size is small it all changes. No SPX and no VIX this can be done really cheap. Probably $.15 all in before any rebating.
There is an art and a science to it, too detailed to discuss here. At some point you get to actually make up your own reality. For example, there used to be a guy that would quote multiple dealers on a fairly illiquid name. Usually, he was a seller of slight OTM puts and he'd hit 4-5 guys at once. Of course, once everyone was choking on that gamma, vol (both implied and realized) would die. Self-fullfilling prophecy. People called him "The Put Bomber".
Thanks to everyone with all the replies. Many of them were useful - (the website that calcs commissions, negotiating fees etc) Not sure what the regulatory hurdles are to be an RIA - but it seems very strange that you have to be one to negotiate fees at some firms. Will take the next couple of months and make a decision re where to go. wrt to volume/liquidity question. Some months I do 3,000 contracts - others 30,000. Depends on the what is out there. I spent over 125K in commissions last year. No issue with liquidity for me. Yes - sometimes a 20 lot can move the vol +/- and then the game is over for me but other times I can do 3,000 contracts at the exact same vol. It can be frustrating but that is the marketplace.
I expect you would benefit from our platforms, rates and customer service. Up to you if you email or call.
Since you do so much trading, some related things to think about: Try out the interface to see if it looks nice and you like the features. Find out about quality of order execution. Experienced traders here talk about obscure things like how many ticks it takes before an order gets completed, and things like ARCA routing. Phone support also counts, IMHO.
Read the broker disclosures carefully. "Smart" orders are likely partially PFOF driven, and I wouldn't be surprised if DMA orders would fall under PFOF too ...
My advice to you would be going with an smaller introducing broker such as Lightspeed or Eroom Securities (this is where I currently trade). Lightspeed will introduce to Wedbush, Eroom introduces to Apex and Merrill. Dealing with these types of firms will get you excellent customer service along with good pricing. Your next decision is what execution platform you use. Some will be free, others will cost monthly fees. This is important as it will help you control where and how your orders are sent and how much you will be able to receive in rebates. Its very possible depending on what types of orders you trade you will have a net rebate exceeding your commission costs.