I have some q's that I keep in my account at IB. Each month I write some calls against these. The best method I have found for this is to break my order up selling some on AMEX, CBOE, ISE. Then as my order gets filled I just move my offers to the exchange filling me. I just reverse this when I want to cover. For the Qs I have found that AMEX gives me the best price and #of fills. Hell one opening AMEX gave me an extra nickel over CBOE and ISE. Now for the other issues, I think it is just a cost of doing business. That and some MMs are crooks. With other accounts I frequently will send a sell order to the BID and as if it was intentional, I become the new ASK. I have also tried to close some positions on the ASK, only to become the new bid. Even with stocks, I watch the time and sales and either I get pennied on things like IWO, and with IBB I actually broke the spread offered only to watch the MM fill six orders at my price, while leaving me sit. That is of course until he could buy from me and sell at his ask. All in all though it still beats dealing with the HR department or some Ahole boss.