I have a question about the relationship between the Volume and Depth of SPY options. I happen to have Market Depth and Time & Sales charts side by side on a SPY option today and noticed a consistent disparity between how much more liquidity there appeared to be relative to how much volume was actually transacted. Obviously the size was constantly fluctuating, but Bid & Ask sizes varied between 3,000-10,000 while most of the transactions on the T&S were for less than 100 contracts. At times the bid or ask size was as much as the total volume traded by mid day. I guess what I am getting at is I have always heard that SPY was very liquid, but I just wasn't sure how liquid. Clearly 100 contracts appears to be nothing to get filled, but how hard would it be to fill 5,000 or even 50,000 on an option that shows to have considerable liquidity yet has a daily volume at the time of this post of 10,000~ ?