Hi, I frequently trade option spreads (verticals, butterfly, condors, etc) on index products (such as NDX, RUT, SPX). Is there a quant. model that can help estimate how much slippage one would have to give up in order to get an option spread order executed? Perhaps an econometrics model / statistical model? What factors should one look at in building such a model? For instance, some factors that would impact whether a butterfly spread would get executed may include: 1) NBBO bid / ask spread of individual legs across exchanges 2) bid / ask spread of individual legs (all legs at given exchange (ISE, CBOE)) 3) greeks of options spread (delta, gamma, theta, vega) 4) percent change in underlying instrument 5) percent change in volatility 6) ..... What other factors would one look at? How does one build a quant. model to estimate pre-trade slippage costs for option spreads?