Check out the closing prices on the SPXPM options, some being $60 wide. Lets say you are a very conservative trader and are long the March 1455/1465 call spread. The 1455 calls closing market is no bid at .10. The 1465 calls are no bid at 50 (yes fifty dollars). So your long call spread would mark at at almost a $25 credit. For every 10 you have you lose $25,000 on the marks and hope for no auto liquidation.